Diagnostics of a Multiresponse Regression Model with Autocorrelated Errors

Abstract

In this paper we study the diagnostics of a multiresponse regression model with a first-order autoregressive error sequence. The deletion technique is used to identify the outliers taking account of the dependence structure of the errors. Besides the usual measures, some scalar measures to gauge the impact of the ouliers on the regression are suggested.

Keywords

• multiple responses
• autoregressive errors
• regression diagnostics.