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

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

Journal of Applied Statistics, 2011, vol. 38, issue 7, 1509-1531

Abstract: Heteroscedasticity checking in regression analysis plays an important role in modelling. It is of great interest when random errors are correlated, including autocorrelated and partial autocorrelated errors. In this paper, we consider multivariate t linear regression models, and construct the score test for the case of AR(1) errors, and ARMA( s,d ) errors. The asymptotic properties, including asymptotic chi-square and approximate powers under local alternatives of the score tests, are studied. Based on modified profile likelihood, the adjusted score test is also developed. The finite sample performance of the tests is investigated through Monte Carlo simulations, and also the tests are illustrated with two real data sets.

Date: 2011
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DOI: 10.1080/02664763.2010.515301

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