Multivariate autoregressive models with exogenous variables (VARX) are often used in econometric applications. Many properties of the basic statistics for this class of models rely on the assumption of independent errors. Using results of Hong (Econometrica 64 (1996) 837), we propose a new test stat
SUR estimation of multiple time-series models with heteroscedasticity and serial correlation of unknown form
โ Scribed by Michael Creel; Montserrat Farell
- Book ID
- 117332865
- Publisher
- Elsevier Science
- Year
- 1996
- Tongue
- English
- Weight
- 685 KB
- Volume
- 53
- Category
- Article
- ISSN
- 0165-1765
No coin nor oath required. For personal study only.
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