Size corrected Significance Tests in Seemingly Unrelated Regressions with Autocorrelated Errors

Symeonides Spyridon D. (), Yiannis Karavias and Elias Tzavalis
Additional contact information
Symeonides Spyridon D.: Department of Economics, University of Ioannina, Ioannina 455 00, Greece

Journal of Time Series Econometrics, 2017, vol. 9, issue 1, 41

Abstract: Refined asymptotic methods are used to produce degrees-of-freedom- adjusted Edgeworth and Cornish-Fisher size corrections of the t and F testing procedures for the parameters of a S.U.R. model with serially correlated errors. The corrected tests follow the Student-t and F distributions, respectively, with an approximation error of order Oτ3$$O\left({{\tau ^3}} \right)$$, where τ=1/T$$\tau = 1/\sqrt T $$ and T is the number of time observations. Monte Carlo simulations provide evidence that the size corrections suggested hereby have better finite sample properties, compared to the asymptotic testing procedures (either standard or Edgeworth corrected), which do not adjust for the degrees of freedom.

Keywords: linear regression; S.U.R. models; stochastic expansions; asymptotic approximations; AR(1) errors (search for similar items in EconPapers)
JEL-codes: C12 D24 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1515/jtse-2015-0014 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
Working Paper: Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:jtsmet:v:9:y:2017:i:1:p:41:n:4

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/jtse/html

DOI: 10.1515/jtse-2015-0014

Access Statistics for this article

Journal of Time Series Econometrics is currently edited by Javier Hidalgo

More articles in Journal of Time Series Econometrics from De Gruyter
Bibliographic data for series maintained by Peter Golla ().