Testing for serial correlation in simultaneous equation models: Some further results |
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Authors: | AC Harvey GDA Phillips |
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Institution: | London School of Economics, Aldwych, London WC2, UK;University of Leeds, Leeds LS2 9JT, UK |
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Abstract: | In this paper approximate counterparts of the exact tests earlier proposed by the authors are examined. Type 1 error probabilities and test powers are estimated and compared using Monte Carlo experiments. The effect on the Type 1 error probabilities of the misspecification which results when serial correlation is present elsewhere in the system is also investigated. |
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