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Testing for autocorrelation in systems of equations

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Author Info
Phoebus J. Dhrymes () (Columbia University - Department of Economics)
Abstract

This paper deals with the problem of testing for the presence of autocorrelation in a system of general linear models (Seemingly Unrelated Regressions, SUR) when the model is formulated as a vector autoregression (VAR) with exogenous variables. The solution presented in this paper is a generalization of the h-statistic for the single equation single parameter case given in Durbin (1970a). All derivations are based on first principles and no use is made of Durbin's original arguments.

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File URL: http://www.econ.columbia.edu/RePEc/pdf/DP0506-08.pdf
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Paper provided by Columbia University, Department of Economics in its series Discussion Papers with number 0506-08.

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Length: 23 pages
Date of creation: 2005
Date of revision:
Handle: RePEc:clu:wpaper:0506-08

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  1. Durbin, J, 1970. "Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables," Econometrica, Econometric Society, vol. 38(3), pages 410-21, May. [Downloadable!] (restricted)
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