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Testing for Cobreaking and Super exogeneity in the Presence of Deterministic Shifts

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  • Hans-Martin Krolzig
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    Abstract

    We introduce a reduced rank technique for testing for common deterministic shifts. The reduced rank approach is analysed also in the context of super exogenity and an alternative test for super-exogenity is proposed. One important advantage of this approach is that departing from the unrestricted model we depart from a more general model that does not impose a priori which are the target and the policy variables. This could be useful in case in which there did not existed an exact knowledge about a classification between target and instrument nor about their relationship. Monte Carlo simulations are implemented to investigate the power of this technique

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    File URL: http://www.nuff.ox.ac.uk/economics/papers/2000/w35/supexog.pdf
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    Bibliographic Info

    Paper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 2000-W35.

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    Date of creation: 01 Nov 2000
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    Handle: RePEc:oxf:wpaper:2000-w35

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    Keywords: Co-breaking; Super-Exogenity; Reduced Rank Regression; Regime Shifts; Markov Switching; Common Deterministic Shifts;

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    Cited by:
    1. Mohammad Niaz Asadullah, 2006. "Educational Disparity in East and West Pakistan, 1947–71: Was East Pakistan Discriminated Against?," Oxford University Economic and Social History Series _063, Economics Group, Nuffield College, University of Oxford.
    2. James Malcomson & Martin Chalkley, 2001. "Cost Sharing in Health Service Provision: An Empirical Assessment of Cost Savings," Economics Series Working Papers 69, University of Oxford, Department of Economics.
    3. J.Humphries & T. Leunig, 2007. "Cities, Market Integration and Going to Sea: Stunting and the standard of living in early nineteenth-century England and Wales," Oxford University Economic and Social History Series _066, Economics Group, Nuffield College, University of Oxford.
    4. Regina Grafe & Camilla Brautaset, 2006. "The Quiet Transport Revolution: Returns to Scale, Scope and Network Density in Norway`s Nineteenth-Century Sailing Fleet," Economics Series Working Papers 2006-W62, University of Oxford, Department of Economics.
    5. Antonio E. Noriega, 2004. "Sector-Level Disaggregate Stochastic Trends in Mexico’s Real Output," Economia Mexicana NUEVA EPOCA, , vol. 0(1), pages 29-42, January-J.

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