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Testing for serial correlation in simultaneous equation models: Some further results

โœ Scribed by A.C. Harvey; G.D.A. Phillips


Publisher
Elsevier Science
Year
1981
Tongue
English
Weight
413 KB
Volume
17
Category
Article
ISSN
0304-4076

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On consistent testing for serial correla
โœ Pierre Duchesne; Roch Roy ๐Ÿ“‚ Article ๐Ÿ“… 2004 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 335 KB

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