半参数可加测量误差模型的白噪声检验

doi:10.12341/jssms12394

系统科学与数学 ›› 2014, Vol. 34 ›› Issue (8): 992-1002.DOI: 10.12341/jssms12394

半参数可加测量误差模型的白噪声检验

马家丽¹，胡雪梅²

1.重庆工商大学数学与统计学院,重庆 400086； 2.重庆工商大学数学与统计学院, 重庆 400086;中国科学院数学与系统科学研究院, 北京 100190

收稿日期:2014-01-03 修回日期:2014-02-21 出版日期:2014-08-25 发布日期:2014-12-29

PDF ( 425 ) 引用被引次数 ( 5 | 1 )

马家丽，胡雪梅. 半参数可加测量误差模型的白噪声检验[J]. 系统科学与数学, 2014, 34(8): 992-1002.

MA Jiali, HU Xuemei. TESTING WHITE NOISE IN SEMI-PARAMETRIC ADDITIVE MEASUREMENT ERROR MODELS[J]. Journal of Systems Science and Mathematical Sciences, 2014, 34(8): 992-1002.

TESTING WHITE NOISE IN SEMI-PARAMETRIC ADDITIVE MEASUREMENT ERROR MODELS

MA Jiali¹, HU Xuemei²

1.School of Mathematics and Statistics, Chongqing Technology and Business University,Chongqing 400067; 2.School of Mathematics and Statistics, Chongqing Technology and Business University, Chongqing 400067; Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190

Received:2014-01-03 Revised:2014-02-21 Online:2014-08-25 Published:2014-12-29

当模型误差不是白噪声时, 通常的估计方法无效,特别是当回归因子包含后延变量时,估计不相合. 因此,文章研究了半参数可加测量误差模型的白噪声检验. 提出了一个白噪声检验统计量, 并在模型误差是白噪声的零假设下证明了所提检验统计量服从渐近正态分布. 随机模拟表明所提出的检验统计量具有良好的检验功效和水平.

关键词： 半参数可加测量误差模型, 白噪声, 渐近正态.

When the model errors are not white noise, the popular estimation techniques become inefficient or invalid or inconsistent if the regressors contain lagged dependent variables. Therefore, in this paper we investigate the white noise semi-parametric additive measurement error models. We propose a white noise test statistic, and show that it follows an asymptotic normal distribution under the null hypothesis that the model errors are white noise. Simulation studies exhibit that the proposed test statistic has very good power and size

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62G10
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