Robust Wald Tests in Sur Systems with Adding-up Restrictions

DOI10.1111/1468-0262.00129zbMath1016.62074OpenAlexW2019690258MaRDI QIDQ4530977

Surajit Ray, N. Eugene Savin, Bala Ravikumar

Publication date: 28 May 2002

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1468-0262.00129

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (7)

Estimation in singular linear models with stepwise inclusion of linear restrictions ⋮ On equalities of estimations of parametric functions under a general linear model and its restricted models ⋮ Generalized adding-up in systems of regression equations ⋮ On the univariate representation of BEKK models with common factors ⋮ Equalities for estimators of partial parameters under linear model with restrictions ⋮ On the equivalence of the BLUEs under a general linear model and its restricted and stochastically restricted models ⋮ Testing for Granger causality in large mixed-frequency VARs

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