Testing Conditional Uncorrelatedness

• Main Authors: SU, Liangjun, ULLAH, Aman
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2009
• Subjects: Conditional heteroscedasticity; Local polynomial estimator; Nonparametric multivariate regression; Seemingly unrelated regressions; Vector autoregressions; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/354; https://ink.library.smu.edu.sg/context/soe_research/article/1353/viewcontent/testing_conditional_uncorrelatedness_afv.pdf
• Institution: Singapore Management University

We propose a nonparametric test for conditional uncorrelatedness in multiple-equation models such as seemingly unrelated regressions (SURs), multivariate volatility models, and vector autoregressions (VARs). Under the null hypothesis of conditional uncorrelatedness, the test statistic converges to t...