Robust Wald Tests in Sur Systems with Adding-up Restrictions

DOI10.1111/1468-0262.00129MaRDI QIDQ4530977zbMATH OpenOpenAlexFDO

Authors Surajit Ray, N. Eugene Savin, B. Ravikumar

Publication date 28 May 2002

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1468-0262.00129

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Hypothesis testing in multivariate analysis (62H15) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

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Cited in

(10)

• On the univariate representation of BEKK models with common factors
• Generalized adding-up in systems of regression equations
• On the equivalence of the BLUEs under a general linear model and its restricted and stochastically restricted models
• Estimation in singular linear models with stepwise inclusion of linear restrictions
• Wald Tests and Systems of Stochastic Equations
• On equalities of estimations of parametric functions under a general linear model and its restricted models
• Further remarks on constrained over-parameterized linear models
• Testing for Granger causality in large mixed-frequency VARs
• An aspect of the Wald test for linear restrictions in the seemingly unrelated regressions model
• Equalities for estimators of partial parameters under linear model with restrictions

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