Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions.

DOI10.1016/S0304-4076(01)00093-8zbMath1088.62518OpenAlexW3093135202MaRDI QIDQ1858912

Jean-Marie Dufour, Lynda Khalaf

Publication date: 17 February 2003

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00093-8

zbMATH Keywords

bootstrapgrowthlikelihood ratio testmacroeconomicsLM testMonte Carlo testspecification testexact testfinite-sample testseemingly unrelated regressionsmultivariate linear regressioncontemporaneous correlationinduced testSURE system

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Uses Software

• bootstrap

Cites Work

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