The Granger Centre for Time Series Econometrics

GC 14/01: Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors



Refined asymptotic methods are used to produce degrees-of-freedom adjusted Edgeworth and Cornish-Fisher size corrections of the t and F testing procedures for the parameters of a S.U.R. model with serially correlated errors. The corrected tests follow the Student-t and F distributions, respectively, with an approximation error of order O(\tau^3), where \tau = 1/sqrt(T) and T is the number of time observations. Monte Carlo simulatitions provide evidence that the size corrections suggested hereby have better finite sample properties, compared to the asymptotc testing procedures (either standard or Edgeworth corrected), which do not adjust for the degrees of freedom.

Download the paper in PDF format


Spyridon D. Symeonides, Yiannis Karavias and Elias Tzavalis


View all Granger Centre discussion papers | View all School of Economics featured discussion papers


Posted on Wednesday 1st January 2014

The Granger Centre for Time Series Econometrics

School of Economics
University of Nottingham
University Park
Nottingham, NG7 2RD