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Activity Number:
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527
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Type:
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Contributed
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Date/Time:
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Wednesday, August 5, 2009 : 2:00 PM to 3:50 PM
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Sponsor:
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IMS
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| Abstract - #304643 |
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Title:
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Testing Regression Means with Autoregressive Errors
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Author(s):
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Sheng-Mao Chang*+
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Companies:
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National Cheng Kung University
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Address:
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Managment Building, 2nd Floor,, Tainan, 70101, Taiwan
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Keywords:
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generalized score test ; autoregressive ; random coefficient AR
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Abstract:
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In this work, we deal with the regression model with additive autoregressive errors especially focusing on testing problems. Recent researches mostly focus on the parametric models which are difficult to validate. We design a generalized score test for model fitting and extend it into multivariate responses case. The merits of using this test are, first, the model is defined semiparametrically and, second, it works for random coefficient vector autoregressive errors as well. The proposed testing procedure can also be a tool of choosing smoothing parameter when the regression line is nonlinear. Simulation studies and a real example are used to illustrate the performance of the proposed testing procedure.
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- The address information is for the authors that have a + after their name.
- Authors who are presenting talks have a * after their name.
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