David Hendry (Department of Economics, University of Oxford) Carlos Santos () (Faculdade de Economia e Gestão, Universidade Católica Portuguesa (Porto))
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We develop a new automatically-computable test for super exogeneity, using a variant of general-to-specific modelling. Based on the recent developments in impulse saturation applied to marginal models under the null that no impulses matter, we select the significant impulses for testing in the conditional. The approximate analytical non-centrality of the test is derived for a failure of invariance and for a failure of weak exogeneity when there is a shift in the marginal model. Monte Carlo simulations confirm the nominal significance levels under the null, and power against the two alternatives.
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Find related papers by JEL classification: C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
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