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Nonparametric Tests for the Independence of Regressors and Disturbances as Specification Tests

✍ Scribed by David Johnson and Robert McClelland


Book ID
125768985
Publisher
MIT Press
Year
1997
Tongue
English
Weight
272 KB
Volume
79
Category
Article
ISSN
0034-6535

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This paper presents nonparametric tests of independence that can be used to test the independence of p random variables, serial independence for time series, or residuals data. These tests are shown to generalize the classical portmanteau statistics. Applications to both time series and regression r