Empirical Likelihood Ratio Test for Seemingly Unrelated Regression Models


  •  Chuanhua Wei    
  •  Xiaoxiao Ma    

Abstract

This paper considers the problem of testing independence of equations in a seemingly unrelated regression model. A
novel empirical likelihood test approach is proposed, and under the null hypothesis it is shown to follow asymptotically a
chi-square distribution. Finally, simulation studies and a real data example are conducted to illustrate the performance of
the proposed method.



This work is licensed under a Creative Commons Attribution 4.0 License.
  • ISSN(Print): 1927-7032
  • ISSN(Online): 1927-7040
  • Started: 2012
  • Frequency: bimonthly

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