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econ.EM2026
Finite-Sample Properties of Model Specification Tests for Multivariate Dynamic Regression Models
Koichiro Moriya, Akihiko Noda
We propose a new model specification test for multiple-equation systems with cross-equation error and dynamic regressor--error dependences. Conventional tests often rely on exogene…
econ.EM2025
A Note on the Asymptotic Properties of the GLS Estimator in Multivariate Regression with Heteroskedastic and Autocorrelated Errors
Koichiro Moriya, Akihiko Noda
We study the asymptotic properties of the GLS estimator in multivariate regression with heteroskedastic and autocorrelated errors. We derive Wald statistics for linear restrictions…