Econometrica: Apr 1980, Volume 48, Issue 3
Testing for Serial Correlation in Simultaneous Equation Models
https://doi.org/0012-9682(198004)48:3<747:TFSCIS>2.0.CO;2-X
p.
747-760
A. C. Harvey, G. D. A. Phillips
This paper presents the theoretical development of bounds tests and exact tests for serial correlation in the context of a simultaneous equation model which are analogous to those developed for single equation models. The powers of the exact tests are estimated and compared using Monte Carlo simulation of a three equation model.Log In To View Full Content