Testing Serial Correlation in Semiparametric Time Series Model

Dingding Li and Thanasis Stengos

Working Papers from University of Guelph, Department of Economics and Finance

Abstract: In this paper we propose two test statistics for testing serial correlation in semiparametric time series model that could allow lagged dependent variables as explanatory variables .

Keywords: TESTS; ECONOMIC MODELS; TIME SERIES (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
Pages: 20 pages
Date: 1999
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Journal Article: Testing Serial Correlation in Semiparametric Time Series Models (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:gue:guelph:1999-4

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