Testing of correlation and heteroscedasticity in nonlinear regression models with DBL( p, q,1) random errors

• Published in: Acta mathematica scientia 2008-07, Vol.28 (3), p.613-632
• Main Authors: Yingan, Liu, Bocheng, Wei
• Format: Article
• Language: English
• Subjects: 62F03; 62J20; correlation; DBL( p, q, 1) random errors; heteroscedasticity; nonlinear regression models; score test
• ISSN: 0252-9602; 1572-9087
• DOI: 10.1016/S0252-9602(08)60064-8

Chaos theory has taught us that a system which has both nonlinearity and random input will most likely produce irregular data. If random errors are irregular data, then random error process will raise nonlinearity (Kantz and Schreiber (1997)). Tsai (1986) introduced a composite test for autocorrelation and heteroscedasticity in linear models with AR(1) errors. Liu (2003) introduced a composite test for correlation and heteroscedasticity in nonlinear models with DBL( p,0,1) errors. Therefore, the important problems in regression model are detections of bilinearity, correlation and heteroscedasticity. In this article, the authors discuss more general case of nonlinear models with DBL ( p, q, 1) random errors by score test. Several statistics for the test of bilinearity, correlation, and heteroscedasticity are obtained, and expressed in simple matrix formulas. The results of regression models with linear errors are extended to those with bilinear errors. The simulation study is carried out to investigate the powers of the test statistics. All results of this article extend and develop results of Tsai (1986), Wei, et al (1995), and Liu, et al (2003).