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

• Published in: Journal of econometrics Vol. 42; no. 3; pp. 299 - 317
• Main Author: Turkington, Darrell A.
• Format: Journal Article
• Language: English
• Published: Amsterdam Elsevier B.V 01.11.1989; Elsevier; North-Holland Pub. Co; Elsevier Sequoia S.A
• Series: Journal 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

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...