Tests for serial correlation of unknown form in dynamic least squares regression with wavelets
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DOI: 10.1016/j.econlet.2017.03.021
Abstract: This paper extends the multi-scale serial correlation tests of Gencay and Signori (2015) for observable time series to unobservable errors of unknown forms in a linear dynamic regression model. Our tests directly build on the variance… read more here.
Keywords: serial correlation; tests serial; form dynamic; correlation ... See more keywords