Testing for Serial Correlation in Simultaneous Equation Models
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Publication:3870188
DOI10.2307/1913133zbMath0432.62064OpenAlexW4232691358MaRDI QIDQ3870188
Garry D. A. Phillips, Andrew C. Harvey
Publication date: 1980
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1913133
serial correlationordinary least squaressimultaneous equation modeltwo stage least squarespowers of testsexact text
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Economic growth models (91B62)
Related Items (5)
A note on testing for structural change in a single equation belonging to a simultaneous system ⋮ Testing for heteroscedasticity in simultaneous equation models ⋮ Testing for serial correlation in simultaneous equation models. Some further results ⋮ An alternative approach to obtaining Nagar-type moment approximations in simultaneous equation models ⋮ Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions.
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