Alternative tests for a first-order vector autoregressive error specification

DOI10.1016/0304-4076(74)90032-3zbMath0283.62055OpenAlexW2028180830MaRDI QIDQ1844523

David K. Guilkey

Publication date: 1974

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

Full work available at URL: https://doi.org/10.1016/0304-4076(74)90032-3

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Related Items (3)

A note on the power of the durbin-watson test with 2SLS ⋮ A generalized test for perfect aggregation ⋮ Estimation of seemingly unrelated regression equations

Cites Work

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• Three-Stage Least Squares: Simultaneous Estimation of Simultaneous Equations
• The Maximum Likelihood Estimation of Economic Relationships with Autoregressive Residuals
• Some results on the distribution of Wilks's likelihood-ratio criterion
• Efficient Estimation of a System of Regression Equations when Disturbances are Both Serially and Contemporaneously Correlated
• The Estimation of Simultaneous Equation Models with Lagged Endogenous Variables and First Order Serially Correlated Errors
• Estimation of Seemingly Unrelated Regressions with Vector Autoregressive Errors
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias

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