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Biometrika 1986 73(2):455-460; doi:10.1093/biomet/73.2.455
© 1986 by Biometrika Trust
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Score test for the first-order autoregressive model with heteroscedasticity

CHIH-LING TSAI

Department of Statistic and Operations Research, New York University New York, New York 10006, U.S.A.

A score test is proposed for simultaneous testing of independence and homoscedasticity in the first-order autoregressive model with nonconstant variance. The relationships between the score test statistic and the local influence of minor perturbations on a statistical model are examined.

Key Words: Autocorrelation • Heteroscedasticity • Normal curvature • Score test


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