Checking Serial Independence of Residuals from a Nonlinear Model
نویسندگان
چکیده
In this paper the serial independence tests SIS (Serial Independence Simultaneous) and SICS (Serial Independence Chi-Square) are considered. This tests, proposed by the same authors, are here contextualized in the model validation phase for nonlinear models in which the underlying assumption of serial independence is tested on the estimated residuals. Simulations are used to explore the performance of the tests, in terms of size and power, once a linear/nonlinear model is fitted on the raw data. Results underline that both the tests are powerful against various types of alternatives.
منابع مشابه
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