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AUTOMATIC TESTS for SUPER EXOGENEITY

Author

Listed:
  • David Hendry

    (Department of Economics, University of Oxford)

  • Carlos Santos

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

Abstract

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.

Suggested Citation

  • David Hendry & Carlos Santos, 2007. "AUTOMATIC TESTS for SUPER EXOGENEITY," Working Papers de Economia (Economics Working Papers) 11, Católica Porto Business School, Universidade Católica Portuguesa.
  • Handle: RePEc:cap:wpaper:112007
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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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    Citations

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    Cited by:

    1. Zorica Mladenovic & Bent Nielsen, 2009. "The role of income in money demand during hyper-inflation: the case of Yugoslavia," Economics Papers 2009-W02, Economics Group, Nuffield College, University of Oxford.
    2. Carlos Santos & Maria Alberta Oliveira, 2010. "Assessing French inflation persistence with impulse saturation break tests and automatic general-to-specific modelling," Applied Economics, Taylor & Francis Journals, vol. 42(12), pages 1577-1589.
    3. Søren Johansen & David F. Hendry & Carlos Santos, 2007. "Selecting a Regression Saturated by Indicators," CREATES Research Papers 2007-36, Department of Economics and Business Economics, Aarhus University.
    4. Hildegart Ahumada & Magdalena Cornejo, 2015. "Explaining commodity prices by a cointegrated time series-cross section model," Empirical Economics, Springer, vol. 48(4), pages 1667-1690, June.
    5. Santos, Carlos, 2008. "Impulse saturation break tests," Economics Letters, Elsevier, vol. 98(2), pages 136-143, February.
    6. Neil R. Ericsson, 2008. "The Fragility of Sensitivity Analysis: An Encompassing Perspective," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 895-914, December.

    More about this item

    Keywords

    super exogeneity; general-to-specific; test power; indicators; cobreaking;

    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; Dynamic Treatment Effect Models; Diffusion Processes

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