Consistent testing for serial correlation of unknown form

Econometrica

Volumn 64, Issue 4, 1996, Pages 837-864

  Hong, Yongmiao ^a  

^a NONE

Author keywords

Consistent tests; Cross validation; Entropy; Hellinger metric; Local and global alternatives; Quadratic norm; Serial correlation of unknown form; Spectral estimation; Strong dependence

Indexed keywords

AUTOREGRESSIVE MODEL; CONSISTENT ESTIMATOR; CORRELATION; CROSS VALIDATION; KULLBACK LEIBLER INFORMATION; LINEAR REGRESSION; METRIC; REGRESSION MODEL; SPECTRAL DENSITY; TEST STATISTIC;

ESTIMATION;

EID: 0030353688     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.2307/2171847     Document Type: Article

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