Academic Commons


Testing for autocorrelation in systems of equations

Dhrymes, Phoebus J.

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 (1970a). All derivations are based on first principles and no use is made of Durbin's original arguments.



More About This Work

Academic Units
Department of Economics, Columbia University
Department of Economics Discussion Papers, 0506-08
Published Here
March 25, 2011


August 2005

Academic Commons provides global access to research and scholarship produced at Columbia University, Barnard College, Teachers College, Union Theological Seminary and Jewish Theological Seminary. Academic Commons is managed by the Columbia University Libraries.