Generalized variance-ratio tests for serial correlation in multivariate regression models

DOI10.1016/0304-4076(78)90089-1zbMath0396.62066OpenAlexW2022385355MaRDI QIDQ1253516

Jerzy Szroeter

Publication date: 1978

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(78)90089-1

zbMATH Keywords

Exact TestsMultivariate Generalizations of F-DistributionMultivariate Linear Regression ModelsRotterdam Model of Consumer DemandSerial Autocorrelation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• Some results on the distribution of Wilks's likelihood-ratio criterion
• Exact distributions of Wilks's likelihood ratio criterion
• On the exact distribution of Wilks's criterion
• Testing for Fourth Order Autocorrelation in Quarterly Regression Equations

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