Generalized variance-ratio tests for serial correlation in multivariate regression models |
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Authors: | Jerzy Szroeter |
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Affiliation: | University College London, London WC1E 6BT, England |
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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. |
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