Empirical Likelihood Ratio Test for Seemingly Unrelated Regression Models

Chuanhua Wei and Xiaoxiao Ma

International Journal of Statistics and Probability, 2021, vol. 10, issue 3, 1

Abstract: This paper considers the problem of testing independence of equations in a seemingly unrelated regression model. A novel empirical likelihood test approach is proposed, and under the null hypothesis it is shown to follow asymptotically a chi-square distribution. Finally, simulation studies and a real data example are conducted to illustrate the performance of the proposed method.

Date: 2021
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