Testing Serial Correlation in Single Index Models
Jianbo Li, Yuanyuan Wang, Zhensheng Huang, Riquan Zhang, Lin Liu · Communications in Statistics - Simulation and Computation · 2014
In this article, we propose two testing procedures for the serial correlation in single index models by virtue of B spline approximation for unknown single index function. Under some regular conditions, we show that our proposed statistics asymptotically follow normal and χ2 distribution. Many numerical studies illustrate that the proposed procedures can perform very well for moderate sample size.