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

DOI10.1080/02664763.2010.515301zbMath1218.62056MaRDI 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 test; autocorrelation; approximate local powers; simulation studies; adjusted score test

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J05: Linear regression; mixed models

62H15: Hypothesis testing in multivariate analysis

65C05: Monte Carlo methods

62F05: Asymptotic properties of parametric tests

Uses Software

• GLIM

Cites Work

• Unnamed Item
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