Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances
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- Chib, Siddhartha & Greenberg, Edward, 1994. "Bayes inference in regression models with ARMA (p, q) errors," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 183-206.
- Beach, Charles M & MacKinnon, James G, 1979.
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- Engle, Robert F., 1982. "A general approach to lagrange multiplier model diagnostics," Journal of Econometrics, Elsevier, vol. 20(1), pages 83-104, October.
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- Breusch, T.S. & Pagan, A.R., "undated". "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).
- Godfrey, Leslie G, 1978. "Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1303-1310, November.
- Magnus, Jan R. & Neudecker, H., 1986. "Symmetry, 0-1 Matrices and Jacobians: A Review," Econometric Theory, Cambridge University Press, vol. 2(02), pages 157-190, August.
- Godfrey, Leslie G, 1978. "Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1293-1301, November.
- Smith, Richard, 1983. "On the classical nature of the Wu-Hausman statistics for the independence of stochastic regressors and disturbance," Economics Letters, Elsevier, vol. 11(4), pages 357-364.
- Magnus, J.R. & Neudecker, H., 1980. "The elimination matrix : Some lemmas and applications," Other publications TiSEM 0e3315d3-846c-4bc5-928e-f, Tilburg University, School of Economics and Management.
- Chib, Siddhartha & Greenberg, Edward, 1995. "Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models," Journal of Econometrics, Elsevier, vol. 68(2), pages 339-360, August.
- Turkington, Darrell A., 1989. "Classical tests for contemporaneously uncorrelated disturbances in the linear simultaneous equations model," Journal of Econometrics, Elsevier, vol. 42(3), pages 299-317, November.
- Smith, Richard J., 1985. "Wald tests for the independence of stochastic variables and disturbance of a single linear stochastic simultaneous equation," Economics Letters, Elsevier, vol. 17(1-2), pages 87-90.
- Hwang, Hae-shin, 1985. "The equivalence of Hausman and Lagrange Multiplier tests of independence between disturbance and a subset of stochastic regressors," Economics Letters, Elsevier, vol. 17(1-2), pages 83-86.
- Magnus, J.R. & Neudecker, H., 1979. "The commutation matrix : Some properties and applications," Other publications TiSEM d0b1e779-7795-4676-ac98-1, Tilburg University, School of Economics and Management. Full references (including those not matched with items on IDEAS)
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