The linkchecker that we use at the moment does not seem to check external links hence #5379 and others

I tried turning on the sphinx linkchecker python make.py linkcheck which seems to work but generate a fair number of redirect warnings and errors. Perhaps it is worth turning this on pr default?

See https://gist.github.com/jenshnielsen/b3dceef10df743154942 for the present output.

The linkcheck command is broken on python 3.5 but that should be fixed in the next Sphinx point release