Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions.

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.

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Year of publication:	2000
Authors:	Dufour, J.M. ; Khalaf, L.
Institutions:	Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
Subject:	REGRESSION ANALYSIS \| ECONOMIC MODELS \| TESTS \| MACROECONOMICS

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Series:	Cahiers de recherche.
Type of publication:	Book / Working Paper
Notes:	27 pages
Classification:	C20 - Econometric Methods: Single Equation Models. General ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C42 - Survey Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005353030