AUTOMATIC TESTS for SUPER EXOGENEITY
David Hendry () and
Carlos Santos ()
No 11, Working Papers de Economia (Economics Working Papers) from Católica Porto Business School, Universidade Católica Portuguesa
We develop a new automatically-computable test for super exogeneity, using a variant of general-to-specific modelling. Based on the recent developments in impulse saturation applied to marginal models under the null that no impulses matter, we select the significant impulses for testing in the conditional. The approximate analytical non-centrality of the test is derived for a failure of invariance and for a failure of weak exogeneity when there is a shift in the marginal model. Monte Carlo simulations confirm the nominal significance levels under the null, and power against the two alternatives.
Keywords: super exogeneity; general-to-specific; test power; indicators; cobreaking (search for similar items in EconPapers)
JEL-codes: C51 C22 (search for similar items in EconPapers)
Pages: 34 pages
New Economics Papers: this item is included in nep-cmp, nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:cap:wpaper:112007
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