Econometrica Vol. 48 No. 3 1980
Testing for Serial Correlation in Simultaneous Equation Models
Abstract
[This paper presents the theoretical development of bounds tests and exact tests for serial correlation in the context of a simultaneous equation model which are analogous to those developed for single equation models. The powers of the exact tests are estimated and compared using Monte Carlo simulation of a three equation model.]
- DOI
- 10.2307/1913133
- Volume
- 48
- Issue
- 3
- Pages
- 747
- Sources
- bibtex:phds-export.bib openalex crossref