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

  • Hans-Martin Krolzig
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    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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    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
    Contact details of provider: Postal: Manor Rd. Building, Oxford, OX1 3UQ
    Web page: http://www.economics.ox.ac.uk/
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