Delgado, M.A. and J. Mora
Biometrika – 87.1 (2000), 228-234
Keywords: serial independence, empirical processes, HBKR statistic
Abstract: A test for serial independence of regression errors is proposed that is consistent in the direction of serial dependence alternatives of first order. The test statistic is a function of a Hoeffding-Blum-Kiefer-Rosenblatt type of empirical process, based on residuals. The resultant statistic converges, surprisingly, to the same limiting distribution as the corresponding statistic based on true errors.