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

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  • Tsay, Wen-Jen

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  • Tsay, Wen-Jen, 2004. "Testing for contemporaneous correlation of disturbances in seemingly unrelated regressions with serial dependence," Economics Letters, Elsevier, vol. 83(1), pages 69-76, April.
  • Handle: RePEc:eee:ecolet:v:83:y:2004:i:1:p:69-76
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    References listed on IDEAS

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    1. Dufour, Jean-Marie & Khalaf, Lynda, 2002. "Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions," Journal of Econometrics, Elsevier, vol. 106(1), pages 143-170, January.
    2. Jean-Marie Dufour, 2003. "Identification, weak instruments, and statistical inference in econometrics," Canadian Journal of Economics, Canadian Economics Association, vol. 36(4), pages 767-808, November.
    3. 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.
    4. 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.
    5. 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.
    6. T. S. Breusch & A. R. Pagan, 1980. "The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics," Review of Economic Studies, Oxford University Press, vol. 47(1), pages 239-253.
    7. 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 377-395, May.
    8. P. M. Robinson, 1998. "Inference-Without-Smoothing in the Presence of Nonparametric Autocorrelation," Econometrica, Econometric Society, vol. 66(5), pages 1163-1182, September.
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    Cited by:

    1. Kamogawa, Luiz Fernando Ohara & SHIROTA, RICARDO, 2006. "Economic Growth And Energy Consumption: A Sur Regression Model Application In Brazil For Several Sources Of Fuel," 44th Congress, July 23-27, 2006, Fortaleza, Ceará, Brazil 148465, Sociedade Brasileira de Economia, Administracao e Sociologia Rural (SOBER).
    2. Jinhong You & Alan Wan & Shu Liu & Yong Zhou, 2015. "A varying-coefficient approach to estimating multi-level clustered data models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(2), pages 417-440, June.

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