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 the standard normal distribution asymptotically. We also study the local power property of the test. Simulation shows that the test behaves quite well in finite samples.