TY - JOUR
T1 - Tests of heteroscedasticity and correlation in multivariate t regression models with AR and ARMA errors
AU - Lin, Jin Guan
AU - ZHU, Lixing
AU - Cao, Chun Zheng
AU - Li, Yong
N1 - Funding Information:
This study is supported by NSFJS BK2008284 (Jiangsu, China) and a grant (HKBU2030/07P) from the Grant Council of Hong Kong (Hong Kong, China).
PY - 2011/7
Y1 - 2011/7
N2 - 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.
AB - 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.
KW - Adjusted score test
KW - Approximate local powers
KW - Autocorrelation
KW - Heteroscedasticity
KW - Multivariate t regression models
KW - Score test
KW - Simulation studies
UR - http://www.scopus.com/inward/record.url?scp=79956341535&partnerID=8YFLogxK
U2 - 10.1080/02664763.2010.515301
DO - 10.1080/02664763.2010.515301
M3 - Journal article
AN - SCOPUS:79956341535
SN - 0266-4763
VL - 38
SP - 1509
EP - 1531
JO - Journal of Applied Statistics
JF - Journal of Applied Statistics
IS - 7
ER -