Econometrica: Jul 1975, Volume 43, Issue 4
A Test for the Presence of First-Order Vector Autoregressive Errors when Lagged Endogenous Variables are Present
David K. GuilkeyThis 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