Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions.
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Publication:1858912
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
bootstrapgrowthlikelihood ratio testmacroeconomicsLM testMonte Carlo testspecification testexact testfinite-sample testseemingly unrelated regressionsmultivariate linear regressioncontemporaneous correlationinduced testSURE system
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