Monte Carlo Methodology for LM and LR Autocorrelation Tests in Multivariate Regression

Philippe Deschamps

Annals of Economics and Statistics, 1996, issue 43, 149-169

Abstract: The small sample critical values of three test statistics for vector autocorrelated errors are investigated in the context of several specific empirical models. Under the null hypothesis, two of the proposed statistics do not depend on nuisance parameters when the regressors are strongly exogenous, and their distributions are easy to estimate. We also propose a simple and accurate size correction for the Chi-square likelihood ratio test

Date: 1996
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Citations: View citations in EconPapers (8)

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Working Paper: Monte Carlo methodology for LM and LR autocorrelation tests in multivariate regression (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1996:i:43:p:149-169

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