Testing Covariance Restrictions in Systems of Simultaneous Equations with Vector Autoregressive Errors

DOI10.2307/2526652zbMath0663.62117OpenAlexW2086534759MaRDI QIDQ3813120

Alok Bhargava

Publication date: 1989

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2526652

zbMATH Keywords

linear simultaneous equationsvector autoregressive processreduced formasymptotic variance covariance matrixestimated dispersion matrix

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

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