Alternative tests for a first-order vector autoregressive error specification

Author:

Guilkey David K.

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference13 articles.

1. Specification analysis in the estimation of parameters of a simultaneous equation model with autoregressive residuals;Amemiya;Econometrica,1966

2. An introduction to multivariate statistical analysis;Anderson,1958

3. Full information estimation of dynamic simultaneous equations models with autoregressive errors;Dhrymes;The Proceedings of the All India Demography and Statistics,1972

4. The estimation of simultaneous equation models with lagged endogenous variables and first-order serially correlated errors;Fair;Econometrica,1970

5. Efficient estimation of simultaneous equations with autoregressive errors by instrumental variables;Fair;Review of Economics and Statistics,1972

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