A TEST OF AUTOCORRELATION IN THE PRESENCE OF HETEROSKEDASTICITY OF UNKNOWN FORM
针对非线性回归模型中未知形式的异方差，提出一种基于残差样本自协方差和非参数核估计的自相关检验方法，蒙特卡洛实验表明其有限样本表现优于现有检验。
This paper develops a test of autocorrelation in the presence of heteroskedasticity of unknown form in the nonlinear regression model. The test statistic is based on the sample autocovariance of the residuals standardized by a nonparametric kernel estimate of the unknown heteroskedasticity function. Under appropriate conditions, the test statistic is shown to have a limiting chi-square distribution. Local power and consistency results for the test are also established. Monte Carlo experiments show that the test has reasonable size performance and generally dominates some of the existing tests in terms of finite-sample power.