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# Testing Weak Exogeneity in Cointegrated System

## Author Info

• Hsiao Chiying
• Chen Pu
Registered author(s):

## Abstract

This paper develops a limiting theory for Wald tests of weak exogeneity in error correction models (ECMs). It is well known that Wald statistics on cointegrated systems may involve nonstandard distribution and nuisance parameters, if $I(1)$ variables are not negligible in the statistics. To overcome this problem we construct a new statistic that takes only the $I(0)$ components of a Wald statistic into account and thus results in a valid $\chi^2$ criterion. Applying this procedure to test weak exogeneity in ECMs we obtain a simple and direct $\chi^2$ test

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File URL: http://repec.org/esFEAM04/up.27567.1079363411.pdf

## Bibliographic Info

Paper provided by Econometric Society in its series Econometric Society 2004 Far Eastern Meetings with number 537.

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 Length: Date of creation: 11 Aug 2004 Date of revision: Handle: RePEc:ecm:feam04:537 Contact details of provider: Phone: 1 212 998 3820Fax: 1 212 995 4487Web page: http://www.econometricsociety.org/pastmeetings.aspEmail: More information through EDIRC

## References

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1. Johansen, Soren, 1992. "Testing weak exogeneity and the order of cointegration in UK money demand data," Journal of Policy Modeling, Elsevier, vol. 14(3), pages 313-334, June.
2. Hiro Y. Toda & Peter C.B. Phillips, 1991. "Vector Autoregression and Causality," Cowles Foundation Discussion Papers 977, Cowles Foundation for Research in Economics, Yale University.
3. Harbo, Ingrid, et al, 1998. "Asymptotic Inference on Cointegrating Rank in Partial Systems," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 388-99, October.
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