Unit Root test for SUR

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smurac1986
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Joined: Fri May 06, 2011 7:49 am

Unit Root test for SUR

Postby smurac1986 » Fri Jan 19, 2018 5:27 am

Hi,

I am estimating a seemingly unrelated regression consisting of 25 or so equations as below

Y = C(1) + C(2)*X1 + C(3)*X2
Z = C(4) + C(5)*K1 + C(6)*K2..... ETC,

I am wondering what is the best way to check for unit root using EViews. Is it best to test each viable in the system separately or can a 'group' unit root test be carried out. I have read in the literature about the Seemingly Unrelated Regression ADF but am unsure if this is possible using EViews.

Thanks,

S

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