Testing for autocorrelation in systems of equations [July 2002]
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 (1970).
Year of publication: |
2002
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Authors: | Dhrymes, Phoebus J. |
Institutions: | Department of Economics, School of Arts and Sciences |
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