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Dear All

I am estimating 3 equations simultaneously through GMM. Time series data, of course, for a single country.
My question is

(1) do I need to check that error term of the first equation is correlated with the error terms of other equations or not. If yes what is the test. IS it Hauseman?????

Or the possibility of cross sectional dependence in errors is only in cross- sectional or panel data and it is not the issue in Time series.

Thanks in advance

Learner

Does stationarity of variables matters to simultaneous equations?
In another words, I work on a simultaneous equations system, should I test the variables for unit root?

Yes, u must.