IDEAS home Printed from https://ideas.repec.org/a/adr/anecst/y2002i67-68p41-71.html
   My bibliography  Save this article

Testing for Super-Exogeneity in the Presence of Common Deterministic Shifts

Author

Listed:
  • Hans-Martin Krolzig
  • Juan Toro

Abstract

This paper introduces the concept of common deterministic shifts (CDS). This concept is simple, intuitive and relates to the common structure of shifts or policy interventions. We propose a Reduced Rank technique to investigate the presence of CDS. The proposed testing procedure has standard asymptotics and good small-sample properties. We further link the concept of CDS to that of super-exogeneity. It is shown that CDS tests can be constructed which allow to test for super-exogeneity. The Monte Carlo evidence indicates that the CDS test for super-exogeneity dominates testing procedures proposed in the literature.

Suggested Citation

  • Hans-Martin Krolzig & Juan Toro, 2002. "Testing for Super-Exogeneity in the Presence of Common Deterministic Shifts," Annals of Economics and Statistics, GENES, issue 67-68, pages 41-71.
    • Handle: RePEc:adr:anecst:y:2002:i:67-68:p:41-71
    as

    Download full text from publisher

    File URL: http://www.jstor.org/stable/20076342
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. White, Halbert & Pettenuzzo, Davide, 2014. "Granger causality, exogeneity, cointegration, and economic policy analysis," Journal of Econometrics, Elsevier, vol. 178(P2), pages 316-330.
    2. Ahlgren, Niklas & Antell, Jan, 2008. "Cobreaking of Stock Prices and Contagion," Working Papers 537, Hanken School of Economics.
    3. Schreiber, Sven, 2009. "Explaining shifts in the unemployment rate with productivity slowdowns and accelerations: a co-breaking approach," Kiel Working Papers 1505, Kiel Institute for the World Economy (IfW Kiel).
    4. Massmann, Michael, 2007. "Cobra: A package for co-breaking analysis," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 663-679, October.
    5. Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers 63, Brandeis University, Department of Economics and International Business School, revised Sep 2013.
    6. Jennifer Castle & David Hendry, 2016. "Policy Analysis, Forediction, and Forecast Failure," Economics Series Working Papers 809, University of Oxford, Department of Economics.
    7. Jennifer L. Castle & David F. Hendry & Andrew B. Martinez, 2017. "Evaluating Forecasts, Narratives and Policy Using a Test of Invariance," Econometrics, MDPI, vol. 5(3), pages 1-27, September.
    8. David Hendry & Carlos Santos, 2010. "An Automatic Test of Super Exogeneity," Economics Series Working Papers 476, University of Oxford, Department of Economics.
    9. Ahlgren, Niklas & Antell, Jan, 2010. "Stock market linkages and financial contagion: A cobreaking analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(2), pages 157-166, May.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:adr:anecst:y:2002:i:67-68:p:41-71. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Secretariat General or Laurent Linnemer (email available below). General contact details of provider: https://edirc.repec.org/data/ensaefr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.