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Testing for Contemporaneous Correlation of Disturbances in Systems of Regression Equations

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  • Harvey, Andrew C
  • Phillips, Garry D A

Abstract

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Suggested Citation

  • Harvey, Andrew C & Phillips, Garry D A, 1982. "Testing for Contemporaneous Correlation of Disturbances in Systems of Regression Equations," Bulletin of Economic Research, Wiley Blackwell, vol. 34(2), pages 79-91, November.
    • Handle: RePEc:bla:buecrs:v:34:y:1982:i:2:p:79-91
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    Citations

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    Cited by:

    1. Dufour, Jean-Marie & Khalaf, Lynda, 2002. "Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions," Journal of Econometrics, Elsevier, vol. 106(1), pages 143-170, January.
    2. Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2003. "Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models," CIRANO Working Papers 2003s-34, CIRANO.
    3. Christoph Strumann, 2019. "Hodges–Lehmann Estimation of Static Panel Models with Spatially Correlated Disturbances," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 141-168, January.
    4. Dufour, Jean-Marie & Khalaf, Lynda, 2001. "Finite-Sample Simulation-Based Tests in Seemingly Unrelated Regressions," Cahiers de recherche 0111, Université Laval - Département d'économique.
    5. repec:zbw:rwirep:0084 is not listed on IDEAS
    6. Timo Mitze & Björn Alecke & Gerhard Untiedt, 2009. "Trade-FDI Linkages in a System of Gravity Equations for German Regional Data," Ruhr Economic Papers 0084, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
    7. Mitze, Timo & Alecke, Björn & Untiedt, Gerhard, 2009. "Trade-FDI Linkages in a System of Gravity Equations for German Regional Data," Ruhr Economic Papers 84, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    8. Mitze, Timo & Alecke, Björn & Untiedt, Gerhard, 2008. "Trade, FDI and Cross-Variable Linkages: A German (Macro-)Regional Perspective," MPRA Paper 12245, University Library of Munich, Germany.
    9. Tsay, Wen-Jen, 2004. "Testing for contemporaneous correlation of disturbances in seemingly unrelated regressions with serial dependence," Economics Letters, Elsevier, vol. 83(1), pages 69-76, April.

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