Testing for autocorrelation in non-stationary dynamic systems of equations |
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Authors: | Shakir Hussain Ghazi Shukur |
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Affiliation: | 1. Department of Environmental Health and Risk Management , University of Birmingham , UK;2. Center of Labour Market Policy Research, Department of Economics &3. Statistics , V?xj? University , Sweden;4. Dept. of Economics and Statistics, J?nk?ping International Business School , J?nk?ping University , Sweden |
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Abstract: | 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. |
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