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Zero finite-order serial correlation test in a partially linear single-index model

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Abstract

The purpose of this paper is to test the underlying serial correlation in a partially linear single-index model. Under mild conditions, the proposed test statistics are shown to have standard chisquared distribution asymptotically when there is no serial correlation in the error terms. To illustrate their finite sample properties, simulation experiments, as well as a real data example, are also provided. It is revealed that the finite sample performances of the proposed test statistics are satisfactory in terms of both estimated sizes and powers.

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Correspondence to Xiaohui Liu.

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This research was supported by CCNU under Grant No. 09A01002, the SCR of Chongqing Municipal Education Commission under Grant No. KJ110713, and the National Natural Science Foundation of China under Grant Nos. 11101452 and 71172093.

This paper was recommended for publication by Editor Guohua ZOU.

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Liu, X., Wang, G., Hu, X. et al. Zero finite-order serial correlation test in a partially linear single-index model. J Syst Sci Complex 25, 1185–1201 (2012). https://doi.org/10.1007/s11424-012-0033-5

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  • DOI: https://doi.org/10.1007/s11424-012-0033-5

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