Testing serial correlation in partially linear models with validation data

ABSTRACT

This article investigates the testing for serial correlation in partially linear models with validation data and applies the empirical likelihood methods to construct serial tests statistics, and then we derive the asymptotic distribution of the test statistics under null hypothesis. Simulation results show that our method performs well.

KEYWORDS:

• Empirical likelihood
• Partially linear model
• Serial correlation tests
• Validation data

MATHEMATICS SUBJECT CLASSIFICATION:

• 97K80

Acknowledgments

The authors are grateful to professor Shifang Qiu for her help and valuable suggestions.

Funding

The work is partially supported by the National Natural Science Foundation of China (Grant No. 11471060).