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Random weighting method for M-test in linear model with dependent errors

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  • Zhen Zeng
  • Lin Cong
  • Xiangdong Liu

Abstract

We study the random weighting method for M-test in a linear model with dependent errors. The asymptotic distribution of this test statistic is derived under some conditions. This article shows that the random weighting method can be used for deciding the critical value for the M-test regardless of whether the null hypothesis is true or not. Finally, the performance of these results is evaluated by a simulation study.

Suggested Citation

  • Zhen Zeng & Lin Cong & Xiangdong Liu, 2024. "Random weighting method for M-test in linear model with dependent errors," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 53(4), pages 1381-1401, February.
    • Handle: RePEc:taf:lstaxx:v:53:y:2024:i:4:p:1381-1401
    DOI: 10.1080/03610926.2022.2101119
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