Edgerton, David; Shukur, Ghazi - In: Econometric Reviews 18 (1999) 4, pp. 343-386
The Breusch-Godfrey test for autocorrelated errors is generalised to cover systems of equations, and the properties of 18 versions of the test are studied using Monte Carlo methods. We show that only one group of tests regularly has actual size close to the nominal size; namely the likelihood...