Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions

Journal of Econometrics

Volumn 106, Issue 1, 2002, Pages 143-170

  Dufour, Jean Marie ^a   Khalaf, Lynda ^b  

^a UNIVERSITÉ DE MONTRÉAL   (Canada)

^b UNIVERSITÉ LAVAL   (Canada)

Author keywords

Bootstrap; Contemporaneous correlation; Exact test; Finite sample test; Growth; Induced test; Likelihood ratio test; LM test; Macroeconomics; Monte Carlo test; Multivariate linear regression; Seemingly unrelated regressions; Specification test; SURE system

Indexed keywords

CORRELATION METHODS; LAGRANGE MULTIPLIERS; LEAST SQUARES APPROXIMATIONS; MATHEMATICAL MODELS; MATRIX ALGEBRA; MONTE CARLO METHODS; PROBLEM SOLVING; REGRESSION ANALYSIS;

ECONOMETRICS; SEEMINGLY UNRELATED REGRESSIONS (SURE);

ECONOMICS;

EID: 0041290354     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(01)00093-8     Document Type: Article

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