Econometrica: Jul 1975, Volume 43, Issue 4
A Test for the Presence of First-Order Vector Autoregressive Errors when Lagged Endogenous Variables are Present
https://doi.org/0012-9682(197507)43:4<711:ATFTPO>2.0.CO;2-A
p.
711-717
David K. Guilkey
This paper derives an asymptotically valid test for first-order autoregressive errors. The test is derived in a simultaneous system of equations context, and allows lagged endogenous variables to be present in the model.Log In To View Full Content