Testing for autocorrelation in systems of equations [July 2002]
AbstractThis paper deals with the problem of testing for the presence of autocorrelation in a system of general linear models (Seemingly Unrelated Regressions, SUR) when the model is formulated as a vector autoregression (VAR) with exogenous variables. The solution presented in this paper is a generalization of the h-statistic for the single equation single parameter case given in Durbin (1970).
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Bibliographic InfoPaper provided by Columbia University, Department of Economics in its series Discussion Papers with number 0102-67.
Length: 13 pages
Date of creation: 2002
Date of revision:
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