DUFOUR, Jean-Marie; KHALAF, Lynda - Département de Sciences Économiques, Université de … - 2000
This paper proposes finite-sample procedures for testing the SURE specification in multi-equation regression models, i.e. whether the disturbances in different equations are contemporaneously uncorrelated or not. We apply the technique of Monte Carlo (MC) tests [Dwass (1957), Barnard (1963)] to...