Testing for Super-Exogeneity in the Presence of Common Deterministic Shifts

Hans-Martin Krolzig and Juan Toro

Annals of Economics and Statistics, 2002, issue 67-68, 41-71

Abstract: This paper introduces the concept of common deterministic shifts (CDS). This concept is simple, intuitive and relates to the common structure of shifts or policy interventions. We propose a Reduced Rank technique to investigate the presence of CDS. The proposed testing procedure has standard asymptotics and good small-sample properties. We further link the concept of CDS to that of super-exogeneity. It is shown that CDS tests can be constructed which allow to test for super-exogeneity. The Monte Carlo evidence indicates that the CDS test for super-exogeneity dominates testing procedures proposed in the literature.

Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:2002:i:67-68:p:41-71

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