Classical tests for contemporaneously uncorrelated disturbances in the linear simultaneous equations model

This paper obtains the score vector, the information matrix, and the Cramer-Rao lower bound for the parameters of the linear simultaneous equations model. These concepts are then used to construct the Lagrange multiplier test statistic and the Wald test statistic for the null hypothesis that the disturbances of the model are contemporaneously uncorrelated. A straightforward procedure is given for forming the Lagrange multiplier test statistic.