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.
MLA
Harvey, A. C., and G. D. A. Phillips. “Testing for Serial Correlation in Simultaneous Equation Models.” Econometrica, vol. 48, .no 3, Econometric Society, 1980, pp. 747-760, https://www.jstor.org/stable/1913133
Chicago
Harvey, A. C., and G. D. A. Phillips. “Testing for Serial Correlation in Simultaneous Equation Models.” Econometrica, 48, .no 3, (Econometric Society: 1980), 747-760. https://www.jstor.org/stable/1913133
APA
Harvey, A. C., & Phillips, G. D. A. (1980). Testing for Serial Correlation in Simultaneous Equation Models. Econometrica, 48(3), 747-760. https://www.jstor.org/stable/1913133
The Executive Committee of the Econometric Society has approved an increase in the submission fees for papers in Econometrica. Starting January 1, 2025, the fee for new submissions to Econometrica will be US$125 for regular members and US$50 for student members.
By clicking the "Accept" button or continuing to browse our site, you agree to first-party and session-only cookies being stored on your device. Cookies are used to optimize your experience and anonymously analyze website performance and traffic.
