Classical tests for contemporaneously uncorrelated disturbances in the linear simultaneous equations model

This paper obtains the score vector, the information matrix, and the Cramer-Rao lower bound for the parameters of the linear simultaneous equations model. These concepts are then used to construct the Lagrange multiplier test statistic and the Wald test statistic for the null hypothesis that the dis...

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Bibliographic Details
Published inJournal of econometrics Vol. 42; no. 3; pp. 299 - 317
Main Author Turkington, Darrell A.
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier B.V 01.11.1989
Elsevier
North-Holland Pub. Co
Elsevier Sequoia S.A
SeriesJournal of Econometrics
Subjects
Econometrics
Economic models
Economic theory
Exact sciences and technology
Hypotheses
Information
Lagrange multiplier
Mathematics
Matrix
Probability and statistics
Sciences and techniques of general use
Statistics
Studies
Tests
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Summary:This paper obtains the score vector, the information matrix, and the Cramer-Rao lower bound for the parameters of the linear simultaneous equations model. These concepts are then used to construct the Lagrange multiplier test statistic and the Wald test statistic for the null hypothesis that the disturbances of the model are contemporaneously uncorrelated. A straightforward procedure is given for forming the Lagrange multiplier test statistic.
ISSN:0304-4076
1872-6895
DOI:10.1016/0304-4076(89)90055-9