Econometrica: Apr 1980, Volume 48, Issue 3
Testing for Serial Correlation in Simultaneous Equation Models
A. C. Harvey, G. D. A. PhillipsThis 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.
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