Testing for multivariate heteroscedasticity

  title={Testing for multivariate heteroscedasticity},
  author={H. E. T. Holgersson and Ghazi Shukur},
  journal={Journal of Statistical Computation and Simulation},
  pages={879 - 896}
In this article, we propose a testing technique for multivariate heteroscedasticity, which is expressed as a test of linear restrictions in a multivariate regression model. Four test statistics with known asymptotical null distributions are suggested, namely the Wald, Lagrange multiplier (LM), likelihood ratio (LR) and the multivariate Rao F-test. The critical values for the statistics are determined by their asymptotic null distributions, but bootstrapped critical values are also used. The… 

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