(Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models

Alexander Mayer

Economics Letters, 2020, vol. 193, issue C

Abstract: A portmanteau and a maximum statistic are proposed to discern strictly exogenous from predetermined regressors. Both test statistics rely on residual cross-correlations, pre-whitened via autoregressive sieves. Limiting normality of the portmanteau statistic and Gumbel-convergence of the maximum statistic are derived.

Keywords: Strict exogeneity; Long autoregressions; Kernel function; Extreme value theory; Many regressors/instruments (search for similar items in EconPapers)
JEL-codes: C12 C14 C2 C22 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:193:y:2020:i:c:s0165176520302184

DOI: 10.1016/j.econlet.2020.109335

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