Testing for autocorrelation in systems of equations
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 (1970a). All derivations are based on first principles and no use is made of Durbin's original arguments.
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Bibliographic InfoPaper provided by Columbia University, Department of Economics in its series Discussion Papers with number 0506-08.
Length: 23 pages
Date of creation: 2005
Date of revision:
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