Title: Study on nonparametric tests in linear model with autoregressive errors
Authors: Martin Schindler - Technical University of Liberec (Czech Republic) [presenting]
Olcay Arslan - Ankara University (Turkey)
Yesim Guney - Ankara University (Turkey)
Jana Jureckova - Charles University in Prague (Czech Republic)
Jan Picek - Technical University of Liberec (Czech Republic)
Yetkin Tuac - Ankara University (Turkey)
Abstract: In the linear regression model with possibly autoregressive errors, a family of nonparametric tests for regression under a nuisance autoregression is proposed. The tests are based on autoregression rank scores and avoid the estimation of nuisance parameters, in contrast to the tests proposed in the literature. The behavior of the proposed test is illustrated and its computation is described. In the simulation study, the power of the test is estimated under various settings of the parameters of the model.