Testing for autocorrelation in systems of equations
This paper deals with the problem of testing for the presence of autocorrelation in a system of general linear models (Seemingly Unrelated Regressions, SUR) when the model is formulated as a vector autoregression (VAR) with exogenous variables. The solution presented in this paper is a generalization of the h-statistic for the single equation single parameter case given in Durbin (1970).
- econ_0102_67.pdf application/pdf 278 KB Download File
More About This Work