Testing Weak Exogeneity in Cointegrated System

Chih-Ying Hsiao () and Pu Chen

No 537, Econometric Society 2004 Far Eastern Meetings from Econometric Society

Abstract: This paper develops a limiting theory for Wald tests of weak exogeneity in error correction models (ECMs). It is well known that Wald statistics on cointegrated systems may involve nonstandard distribution and nuisance parameters, if $I(1)$ variables are not negligible in the statistics. To overcome this problem we construct a new statistic that takes only the $I(0)$ components of a Wald statistic into account and thus results in a valid $\chi^2$ criterion. Applying this procedure to test weak exogeneity in ECMs we obtain a simple and direct $\chi^2$ test

Keywords: Error correction model; Exogeneity; Wald testest; VAR; Cointegration (search for similar items in EconPapers)
JEL-codes: C12 C32 (search for similar items in EconPapers)
Date: 2004-08-11
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://repec.org/esFEAM04/up.27567.1079363411.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecm:feam04:537

Access Statistics for this paper

More papers in Econometric Society 2004 Far Eastern Meetings from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().