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Testing for contemporaneous correlation of disturbances in seemingly unrelated regressions with serial dependence

  • Tsay, Wen-Jen

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File URL: http://www.sciencedirect.com/science/article/B6V84-4BHVJKR-4/2/60f9baeb3257f67ccaa926220c647626
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 83 (2004)
Issue (Month): 1 (April)
Pages: 69-76

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Handle: RePEc:eee:ecolet:v:83:y:2004:i:1:p:69-76
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Dufour, J.M. & Khalaf, L., 2000. "Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions," Cahiers de recherche 2000-11, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  2. Jean-Marie Dufour, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," CIRANO Working Papers 2003s-49, CIRANO.
  3. Breusch, T.S. & Pagan, A.R., . "The Lagrange multiplier test and its applications to model specification in econometrics," CORE Discussion Papers RP -412, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. Shiba, Tsunemasa & Tsurumi, Hiroki, 1988. "Bayesian and Non-Bayesian Tests of Independence in Seemingly Unrelated Regressions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 29(2), pages 377-95, May.
  5. Faust, Jon, 1996. "Near Observational Equivalence and Theoretical size Problems with Unit Root Tests," Econometric Theory, Cambridge University Press, vol. 12(04), pages 724-731, October.
  6. Harvey, Andrew C & Phillips, Garry D A, 1982. "Testing for Contemporaneous Correlation of Disturbances in Systems of Regression Equations," Bulletin of Economic Research, Wiley Blackwell, vol. 34(2), pages 79-91, November.
  7. DUFOUR, Jean-Marie, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," Cahiers de recherche 10-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  8. P. M. Robinson, 1998. "Inference-Without-Smoothing in the Presence of Nonparametric Autocorrelation," Econometrica, Econometric Society, vol. 66(5), pages 1163-1182, September.
  9. Benedikt M. Poetscher, 2002. "Lower Risk Bounds and Properties of Confidence Sets for Ill-Posed Estimation Problems with Applications to Spectral Density and Persistence Estimation, Unit Roots, and Estimation of Long Memory Parame," Econometrica, Econometric Society, vol. 70(3), pages 1035-1065, May.
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