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Testing Recursiveness in a Triangular Simultaneous Equation Model

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  • Holly, Albert
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    Abstract

    In applied work in macroeconomics using simultaneous equation systems relationships between variables are sometimes described by means of a triangular model. However, in a simultaneous equation sprit the a priori assumption of full recursivity is typically not made. The purpose of this paper is to suggest a recursiveness test for models which are already written in a triangular form. It is a score test (Rao (1948)) applied to the concentrated likelihood function, which is equivalent to Neyman's C test (1959). As indicated in Holly (1978) this type of procedure is quite general and can be applied to a large variety of test model specif9cation. It is based on estimators of the model under null hypothesis, which are, in the particular case of the recursity test the O.L.S. estimators of each structural equation.

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    Bibliographic Info

    Paper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 154.

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    Length: 22 pages
    Date of creation: 1979
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    Handle: RePEc:wrk:warwec:154

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