Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions

Jean-Marie Dufour () and Lynda Khalaf

Cahiers de recherche from Centre interuniversitaire de recherche en économie quantitative, CIREQ

Abstract: This paper proposes finite-sample procedures for testing the SURE specification in multi-equation regression models, i.e. whether the disturbances in different equations are contemporaneously uncorrelated or not.

Keywords: REGRESSION ANALYSIS; ECONOMIC MODELS; TESTS; MACROECONOMICS (search for similar items in EconPapers)
JEL-codes: C15 C20 C42 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2000
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Related works:
Journal Article: Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions (2002)
Working Paper: Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions (2000)
Working Paper: Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:mtl:montec:2000-11

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