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Testing for Autocorrelation in Systems of Equations [August 2003]

This paper deals with the problem of testing for the presence of autocorrelation in a system of general linear models (Seemingly Unrelated Regressions, SUR) when the model is formulated as a vector autoregression (VAR) with exogenous variables. The solution presented in this paper is a generalization of the h-statistic for the single equation single parameter case given in Durbin (1970).
Year of publication:
2003
Authors: Dhrymes, Phoebus J.
Institutions: Department of Economics, School of Arts and Sciences
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
Number 0203-20 13 pages
Source:
Persistent link: https://www.econbiz.de/10005811916
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