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Generalized variance-ratio tests for serial correlation in multivariate regression models

Szroeter, J.; (1978) Generalized variance-ratio tests for serial correlation in multivariate regression models. Journal of Econometrics , 8 (1) pp. 47-59. 10.1016/0304-4076(78)90089-1.

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Abstract

Exact tests for rth order serial correlation in the multivariate linear regression model are devised which are based on a multivariate generalization of the F-distribution. The tests require the computation of two multivariate regressions. In the special case of a single-equation regression model the procedures reduce to simple always-conclusive F-tests. The tests are illustrated by applications to the Rotterdam Model of consumer demand.

Type: Article
Title: Generalized variance-ratio tests for serial correlation in multivariate regression models
DOI: 10.1016/0304-4076(78)90089-1
Publisher version: http://dx.doi.org/10.1016/0304-4076(78)90089-1
Language: English
UCL classification: UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of SandHS > Dept of Economics
URI: http://discovery.ucl.ac.uk/id/eprint/18118
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