Surajit, R.; Ravikumar, B.; Savin, N.E. - Department of Economics, Tippie College of Business - 1998
In this paper, we examine the robust Wald test statistic for SUR systems with adding up restrictions where the same explanatory variables are present in all equations and where heteroskedasticity and/or autocorrelation of unknown forms may be present. For this case, the coefficients are usually...