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.

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