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Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors

Listed author(s):
  • Spyridon D. Symeondes
  • Yiannis Karavias
  • Elias Tzavalis

Refined asymptotic methods are used to produce degrees-of-freedom adjusted Edgeworth and Cornish-Fisher size corrections of the t and F testing procedures for the parameters of a S.U.R. model with serially correlated errors. The corrected tests follow the Student-t and F distributions, respectively, with an approximation error of order O(\tau^3), where \tau = 1/sqrt(T) and T is the number of time observations. Monte Carlo simulatitions provide evidence that the size corrections suggested hereby have better finite sample properties, compared to the asymptotc testing procedures (either standard or Edgeworth corrected), which do not adjust for the degrees of freedom.

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File URL: http://www.nottingham.ac.uk/research/groups/grangercentre/documents/14-01.pdf
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Paper provided by University of Nottingham, Granger Centre for Time Series Econometrics in its series Discussion Papers with number 14/01.

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Handle: RePEc:not:notgts:14/01
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