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Estimation of error variance in linear regression models with errors having multivariate student-t distribution with unknown degrees of freedom

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  • Singh, Radhey S.

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  • Singh, Radhey S., 1988. "Estimation of error variance in linear regression models with errors having multivariate student-t distribution with unknown degrees of freedom," Economics Letters, Elsevier, vol. 27(1), pages 47-53.
    • Handle: RePEc:eee:ecolet:v:27:y:1988:i:1:p:47-53
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    Cited by:

    1. Jin-Guan Lin & Li-Xing Zhu & Chun-Zheng Cao & Yong Li, 2011. "Tests of heteroscedasticity and correlation in multivariate t regression models with AR and ARMA errors," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(7), pages 1509-1531, August.
    2. Stefan Mittnik & Marc Paolella & Svetlozar Rachev, 1998. "Unconditional and Conditional Distributional Models for the Nikkei Index," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 5(2), pages 99-128, May.
    3. Arashi, M. & Kibria, B.M. Golam & Norouzirad, M. & Nadarajah, S., 2014. "Improved preliminary test and Stein-rule Liu estimators for the ill-conditioned elliptical linear regression model," Journal of Multivariate Analysis, Elsevier, vol. 126(C), pages 53-74.
    4. Thi Huong An Nguyen & Anne Ruiz-Gazen & Christine Thomas-Agnan & Thibault Laurent, 2019. "Multivariate Student versus Multivariate Gaussian Regression Models with Application to Finance," JRFM, MDPI, vol. 12(1), pages 1-21, February.
    5. Akio Namba, 2001. "MSE performance of the 2SHI estimator in a regression model with multivariate t error terms," Statistical Papers, Springer, vol. 42(1), pages 81-96, January.
    6. M. Arashi & B. Kibria & A. Tajadod, 2015. "On shrinkage estimators in matrix variate elliptical models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 78(1), pages 29-44, January.
    7. Wang, Song-Gui & Ip, Wai-Cheung, 2003. "Inconsistency of estimate of the degree of freedom of multivariate student-t disturbances in linear regression models," Economics Letters, Elsevier, vol. 80(3), pages 383-389, September.
    8. Marc S. Paolella, 2016. "Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability," Econometrics, MDPI, vol. 4(2), pages 1-28, May.
    9. Akio Namba & Kazuhiro Ohtani, 2007. "Risk comparison of the Stein-rule estimator in a linear regression model with omitted relevant regressors and multivariatet errors under the Pitman nearness criterion," Statistical Papers, Springer, vol. 48(1), pages 151-162, January.

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