arXiv 29 Jan 2026 · Econometrics
arXiv:2601.21272 · PDF · DOI · OpenAlex · Extracted main text
This paper proposes a new multivariate model specification test that generalizes Durbin regression to a seemingly unrelated regression framework and reframes the Durbin approach as a GLS-class estimator. The proposed estimator explicitly models cross-equation dependence and the joint second-order dynamics of regressors and disturbances. It remains consistent under a comparatively weak dependence condition in which conventional OLS- and GLS-based estimators can be inconsistent, and it is asymptotically efficient under stronger conditions. Monte Carlo experiments indicate that the associated Wald test achieves improved size control and competitive power in finite samples, especially when combined with a bootstrap-based bias correction. An empirical application further illustrates that the proposed procedure delivers stable inference and is practically useful for multi-equation specification testing.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Fama, E. F. and French, K. R (1993) Common Risk Factors in the Returns on Stocks and Bonds | 1.000 | 14 | 5 | 100% |
| 2 | Fama, E. F. and French, K. R (2015) A Five-Factor Asset Pricing Model | 1.000 | 11 | 5 | 100% |
| 3 | Perron, P. and González-Coya, E (2026) Feasible GLS for Time Series Regression | 1.000 | 10 | 3 | 100% |
| 4 | Baillie, R. T., Diebold, F. X., Kapetanios, G., Kim, K. H., and Mora… (2024) On Robust Inference in Time-Series Regression | 1.000 | 9 | 3 | 100% |
| 5 | Fama, E. F. and French, K. R (2016) Dissecting Anomalies with a Five-Factor Model | 0.928 | 4 | 4 | 100% |
| 6 | Fama, E. F. and French, K. R (2017) International Tests of a Five-Factor Asset Pricing Model | 0.928 | 4 | 3 | 100% |
| 7 | Cakici, N., Fabozzi, F. J., and Tan, S (2013) Size, Value, and Momentum in Emerging Market Stock Returns | 0.843 | 3 | 3 | 100% |
| 8 | Fama, E. F. and French, K. R (2018) Choosing Factors | 0.843 | 3 | 3 | 100% |
| 9 | Fama, E. F. and French, K. R (2020) Comparing Cross-Section and Time-SeriesFactor Models | 0.843 | 3 | 3 | 100% |
| 10 | Gibbons, M. R., Ross, S. A., and Shanken, J (1989) A Test of the Efficiency of a Given Portfolio | 0.811 | 4 | 2 | 100% |
Showing the top 10 of 95 scored citations.