Byron, Ray; Rosalsky, Mercedes C. - In: Econometric Theory 1 (1985) 03, pp. 403-408
A size correction to adjust the critical values of asymptotic χ<sup>2</sup> tests in a SUR context has been developed by Rothenberg and verified by Phillips. The adjustment centers the distribution of the observed test statistic so that it coincides more closely with its hypothetical distribution. The...