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AUTOMATIC TESTS for SUPER EXOGENEITY

  • David Hendry

    (Department of Economics, University of Oxford)

  • Carlos Santos

    ()

    (Faculdade de Economia e Gestão, Universidade Católica Portuguesa - Porto)

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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File URL: http://www.porto.ucp.pt/feg/repec/WP/112007%20-%20Hendry%20e%20Santos%20-%20Automatic%20Tests%20for%20Super%20Exogeneity.pdf
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Paper provided by Faculdade de Economia e Gestão, Universidade Católica Portuguesa (Porto) in its series Working Papers de Economia (Economics Working Papers) with number 11.

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Length: 34 pages
Date of creation: Jun 2007
Date of revision:
Handle: RePEc:cap:wpaper:112007
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