Su, Liangjun; Ullah, Aman - In: Journal of Business & Economic Statistics 27 (2009), pp. 18-29
We propose a nonparametric test for conditional uncorrelatedness in multiple-equation models such as seemingly unrelated regressions (SURs), multivariate volatility models, and vector autoregressions (VARs). Under the null hypothesis of conditional uncorrelatedness, the test statistic converges...