Abstract
In the linear regression model with possibly autoregressive errors, we construct a family of nonparametric tests for significance of regression, under a nuisance autoregression of model errors. The tests avoid an estimation of nuisance parameters, in contrast to the tests proposed in the literature. A simulation study illustrate their good performance.
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The research of J. Jurečková, J. Picek and M. Schindler was supported by the Grant GAčR 22-036036S.
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Jurečková, J., Arslan, O., Güney, Y. et al. Nonparametric tests in linear model with autoregressive errors. Metrika 86, 443–453 (2023). https://doi.org/10.1007/s00184-022-00877-y
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DOI: https://doi.org/10.1007/s00184-022-00877-y