Testing for Serial Correlation in Simultaneous Equation Models

DOI10.2307/1913133MaRDI QIDQ3870188zbMATH OpenOpenAlexFDO

Authors G. 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

zbMATH Keywords

exact textordinary least squarespowers of testsserial correlationsimultaneous equation modeltwo stage least squares

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Economic growth models (91B62)

Cited in

(5)

• 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.
• A note on testing for structural change in a single equation belonging to a simultaneous system

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