Testing for autocorrelation in systems of equations
This paper deals with the problem of testing for the presence of autocorrelation in a system of general linear models (Seemingly Unrelated Regressions, SUR) when the model is formulated as a vector autoregression (VAR) with exogenous variables. The solution presented in this paper is a generalization of the h-statistic for the single equation single parameter case given in Durbin (1970a). All derivations are based on first principles and no use is made of Durbin's original arguments.
Year of publication: |
2005
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Authors: | Dhrymes, Phoebus J. |
Institutions: | Department of Economics, School of Arts and Sciences |
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