Testing for Autocorrelation in Non-stationary Dynamic Systems of Equations

Shakir Hussain, G Shukor

    Research output: Contribution to journalArticle


    Using Monte Carlo methods, the properties of systemwise generalizations of the Breusch-Godfrey test for autocorrelated errors are studied in integrated cointegrated systems of equations. Our analysis, regarding the size of the test, reveals that the corrected LR tests have been shown to perform satisfactorily even in cases when the exogenous variables follow a unit root process, whilst the commonly used TR2 test behaves badly even in single equations. All tests perform badly, however, when the number of equations increases and the exogenous variables are highly autocorrelated.
    Original languageEnglish
    Pages (from-to)441-454
    Number of pages14
    JournalJournal of Applied Statistics
    Issue number4
    Publication statusPublished - 1 Jan 2003


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