Robust Wald Tests in SUR Systems with Adding Up Restrictions: An Algebraic Approach to Proofs of Invariance
AbstractIn this paper, we examine the robust Wald test statistic for SUR systems with adding up restrictions where the same explanatory variables are present in all equations and where heteroskedasticity and/or autocorrelation of unknown forms may be present. For this case, the coefficients are usually estimated by least squares, equation by equation. For testing the typical hypotheses of interest, we show that the robust Wald statistic, i.e., the statistic based on the heteroskedasticity and autocorrelation consistent covariance matrix estimator, is invariant to the equation deleted. Our proof of invariance is algebraic and does not rely on parametric assumptions or on the knowledge of the covariance matrix of disturbances. Furthermore, the adding-up restrictions we consider are of a general form: the weighted sum of the dependent variables adds up to one of the explanatory variables, not necessarily a constant. We illustrate our results using the Capital Asset Pricing Model.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by University of Iowa, Department of Economics in its series Working Papers with number 98-01.
Length: 22 pages
Date of creation: Jan 1998
Date of revision:
Contact details of provider:
Postal: University of Iowa, Department of Economics, Henry B. Tippie College of Business, Iowa City, Iowa 52242
Phone: (319) 335-0829
Fax: (319) 335-1956
Web page: http://tippie.uiowa.edu/economics/
More information through EDIRC
SUR System; Adding up; Wald test; Heteroskedasticity; Autocorrelation.;
Other versions of this item:
- Surajit Ray & B. Ravikumar & N. Eugene Savin, 1998. "Robust Wald Tests in SUR Systems with Adding Up Restrictions: An Algebraic Approach to Proofs of Invariance," Econometrics 9802002, EconWPA.
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
- Barten, A. P., 1969. "Maximum likelihood estimation of a complete system of demand equations," European Economic Review, Elsevier, vol. 1(1), pages 7-73.
- Whitney K. Newey & Kenneth D. West, 1986.
"A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix,"
NBER Technical Working Papers
0055, National Bureau of Economic Research, Inc.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May.
- Mandy, David M. & Martins-Filho, Carlos, 1993. "Seemingly unrelated regressions under additive heteroscedasticity : Theory and share equation applications," Journal of Econometrics, Elsevier, vol. 58(3), pages 315-346, August.
- Berndt, Ernst R & Savin, N Eugene, 1975. "Estimation and Hypothesis Testing in Singular Equation Systems with Autoregressive Disturbances," Econometrica, Econometric Society, vol. 43(5-6), pages 937-57, Sept.-Nov.
- Ravi Jagnnathan & Ellen R. McGrattan, 1995. "The CAPM debate," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 2-17.
- Javed Iqbal & Robert Brooks & Don U.A. Galagedera, 2008.
"Multivariate tests of asset pricing: Simulation evidence from an emerging market,"
Monash Econometrics and Business Statistics Working Papers
2/08, Monash University, Department of Econometrics and Business Statistics.
- Javed Iqbal & Robert Brooks & Don Galagedera, 2010. "Multivariate tests of asset pricing: simulation evidence from an emerging market," Applied Financial Economics, Taylor and Francis Journals, vol. 20(5), pages 381-395.
- Iqbal, Javed & Brooks, Robert & Galagedera, Don UA, 2007. "Robust Tests of the Lower Partial Moment Asset Pricing Model in Emerging Markets," MPRA Paper 25349, University Library of Munich, Germany, revised May 2007.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John Solow).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.