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Assessing white noise assumption with semi-parametric additive partial linear models

Author

Listed:
  • Tianyong Zhang

    (Chongqing Technology and Business University)

  • Demei Yuan

    (Chongqing Technology and Business University)

  • Jiali Ma

    (Chongqing Technology and Business University)

  • Xuemei Hu

    () (Chongqing Technology and Business University
    Chinese Academy of Sciences)

Abstract

In this paper, we present two test statistics for assessing white noise assumption with semi-parametric additive partial linear models. The test statistics are shown to have asymptotic normal or chi-squared distributions under the null hypothesis that the model errors belong to white noise series. By applying R, Monte Carlo experiments are conducted to examine the finite sample performance of the test statistics. Simulation results indicate that the test statistics perform satisfactorily in both estimated sizes and powers.

Suggested Citation

  • Tianyong Zhang & Demei Yuan & Jiali Ma & Xuemei Hu, 2017. "Assessing white noise assumption with semi-parametric additive partial linear models," Statistical Papers, Springer, vol. 58(2), pages 417-431, June.
  • Handle: RePEc:spr:stpapr:v:58:y:2017:i:2:d:10.1007_s00362-015-0705-z
    DOI: 10.1007/s00362-015-0705-z
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    References listed on IDEAS

    as
    1. Chuan-hua Wei & Chunling Liu, 2012. "Statistical inference on semi-parametric partial linear additive models," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 24(4), pages 809-823, December.
    2. Opsomer, Jean D., 2000. "Asymptotic Properties of Backfitting Estimators," Journal of Multivariate Analysis, Elsevier, vol. 73(2), pages 166-179, May.
    3. Breusch, T S, 1978. "Testing for Autocorrelation in Dynamic Linear Models," Australian Economic Papers, Wiley Blackwell, vol. 17(31), pages 334-355, December.
    4. Godfrey, Leslie G, 1978. "Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1303-1310, November.
    5. Li, Q. & Hsiao, C., 1998. "Testing serial correlation in semiparametric panel data models," Journal of Econometrics, Elsevier, vol. 87(2), pages 207-237, September.
    6. Li, Qi, 2000. "Efficient Estimation of Additive Partially Linear Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 41(4), pages 1073-1092, November.
    7. Dingding Li & Thanasis Stengos, 2003. "Testing Serial Correlation in Semiparametric Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(3), pages 311-335, May.
    8. Kyriazidou, Ekaterini, 1998. "Testing for serial correlation in multivariate regression models," Journal of Econometrics, Elsevier, vol. 86(2), pages 193-220, June.
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