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Testing Conditional Uncorrelatedness

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Author Info
Su, Liangjun
Ullah, Aman

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Abstract

We propose a nonparametric test for conditional uncorrelatedness in multiple-equation models such as seemingly unrelated regressions (SURs), multivariate volatility models, and vector autoregressions (VARs). Under the null hypothesis of conditional uncorrelatedness, the test statistic converges to the standard normal distribution asymptotically. We also study the local power property of the test. Simulation shows that the test behaves quite well in finite samples.

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File URL: http://pubs.amstat.org/doi/abs/10.1198/jbes.2009.0002
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Publisher Info
Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 27 (2009)
Issue (Month): ()
Pages: 18-29
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Handle: RePEc:bes:jnlbes:v:27:y:2009:p:18-29

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This page was last updated on 2009-11-22.

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