• 论文 •

### 半参数可加测量误差模型的白噪声检验

1. 1.重庆工商大学数学与统计学院,重庆 400086； 2.重庆工商大学数学与统计学院,  重庆 400086;中国科学院数学与系统科学研究院,  北京 100190
• 收稿日期:2014-01-03 修回日期:2014-02-21 出版日期:2014-08-25 发布日期:2014-12-29

MA Jiali, HU Xuemei. TESTING WHITE NOISE IN SEMI-PARAMETRIC ADDITIVE MEASUREMENT ERROR MODELS[J]. Journal of Systems Science and Mathematical Sciences, 2014, 34(8): 992-1002.

### TESTING WHITE NOISE IN SEMI-PARAMETRIC ADDITIVE MEASUREMENT ERROR MODELS

MA Jiali1, HU Xuemei2

1. 1.School of Mathematics and Statistics, Chongqing Technology and Business University,Chongqing 400067; 2.School of Mathematics and Statistics, Chongqing Technology and Business University, Chongqing 400067; Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190
• Received:2014-01-03 Revised:2014-02-21 Online:2014-08-25 Published:2014-12-29

When the model errors are not white noise, the popular estimation techniques become inefficient or invalid or inconsistent if the regressors contain lagged dependent variables. Therefore, in this paper we investigate the white noise semi-parametric additive measurement error models. We propose a white noise test statistic, and show that it follows an asymptotic normal distribution under the null hypothesis that the model errors are white noise. Simulation studies exhibit that the proposed test statistic has very good power and size

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