Revealing unnoticed properties of super exogeneity in a cointegrated vector autoregression

Takamitsu Kurita

Communications in Statistics - Theory and Methods, 2022, vol. 51, issue 23, 8349-8370

Abstract: This study provides a basis for super exogeneity possessing further valuable implications which have not been clarified yet in preceding research. The relevance of super exogeneity to S-ancillary statistics is reexamined from a theoretical viewpoint, and it is then argued that the small-sample precision of statistical inference for cointegrating parameters can be improved by conditioning on a class of super exogenous variables. Monte Carlo experiments are conducted to verify the theoretical argument. An empirical analysis is also performed as a demonstration of the practicality of the argument.

Date: 2022
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DOI: 10.1080/03610926.2021.1894448

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