This paper derives an asymptotically valid test for first-order autoregressive errors. The test is derived in a simultaneous system of equations context, and allows lagged endogenous variables to be present in the model.
MLA
Guilkey, David K.. “A Test for the Presence of First-Order Vector Autoregressive Errors when Lagged Endogenous Variables are Present.” Econometrica, vol. 43, .no 4, Econometric Society, 1975, pp. 711-717, https://www.jstor.org/stable/1913079
Chicago
Guilkey, David K.. “A Test for the Presence of First-Order Vector Autoregressive Errors when Lagged Endogenous Variables are Present.” Econometrica, 43, .no 4, (Econometric Society: 1975), 711-717. https://www.jstor.org/stable/1913079
APA
Guilkey, D. K. (1975). A Test for the Presence of First-Order Vector Autoregressive Errors when Lagged Endogenous Variables are Present. Econometrica, 43(4), 711-717. https://www.jstor.org/stable/1913079
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