 
Hello,
 
I have question with regrad to the "systemfit" package. 
I'm estimating a simultaneous system of equations. I have 5 equations in my system. I use 3SLS for estimation since it permits to take into account, both, contemporaneous error terms correlation and simultaneity bias. 
 
After estimating my system, in which all equations are dynamic (each equation contain one lagged endogenous variable), I perform the Breusch-Godfrey test to test for the presence of residual autocorrelation between error terms of the same equation (E_1t ,E_1(t-1). The test results show that there is autocorrelation.
 
My question is, in the case of simultaneous system of equations, how to correct for this problem of autocorrelation (I note again that I speak about autocorrelation between erros of the same equation and not autocorrelation between errors of different equations).
 
I have seen that on the case for one single equation estimation, we use the function gls to correct for residuals autocorrelation, but in the case od system of equations there is no indication about how deal with this problem.  I wonder if I should estimate separately equations in which there is evidence of autocorrelation by using simply OLS or gls functions?
 
Any idea please ? 
Help will be very appreciated.
Thank you in advance
 


      
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