Lin, Jin-Guan; Zhu, Li-Xing; Cao, Chun-Zheng; Li, Yong - In: Journal of Applied Statistics 38 (2011) 7, pp. 1509-1531
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 <italic>t</italic> linear regression models, and construct the...