Symeondes, Spyridon D.; Karavias, Yiannis; Tzavalis, Elias - Granger Centre for Time Series Econometrics, School of …
Refined asymptotic methods are used to produce degrees-of-freedom adjusted Edgeworth and Cornish-Fisher size corrections of the t and F testing procedures for the parameters of a S.U.R. model with serially correlated errors. The corrected tests follow the Student-t and F distributions,...
