Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions
نویسندگان
چکیده
منابع مشابه
Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions
This paper proposes finite-sample procedures for testing the SURE specification in multi-equation regression models, i.e. whether the disturbances in different equations are contemporaneously uncorrelated or not. We apply the technique of Monte Carlo (MC) tests [Dwass (1957), Barnard (1963)] to obtain exact tests based on standard LR and LM zero correlation tests. We also suggest a MC quasi-LR ...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2002
ISSN: 0304-4076
DOI: 10.1016/s0304-4076(01)00093-8