Tests of heteroscedasticity and correlation in multivariate t regression models with AR and ARMA errors

DOI10.1080/02664763.2010.515301zbMath1218.62056OpenAlexW2105108627MaRDI QIDQ3019498

Li Xing Zhu, Chun-Zheng Cao, Yong Li, Jin-Guan Lin

Publication date: 28 July 2011

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2010.515301

zbMATH Keywords

score testautocorrelationapproximate local powerssimulation studiesadjusted score test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15) Monte Carlo methods (65C05) Asymptotic properties of parametric tests (62F05)

Uses Software

• GLIM

Cites Work

• Unnamed Item
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• Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
• Multivariate Student-t regression models: Pitfalls and inference
• Multivariate T-Distributions and Their Applications
• Use of Modified Profile Likelihood for Improved Tests of Constancy of Variance in Regression
• Percentage Points of the Multivariate t Distribution

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