An Automatic Test of Super Exogeneity

David Hendry and Carlos Santos ()

No 476, Economics Series Working Papers from University of Oxford, Department of Economics

Abstract: We develop a new automatically-computable test for super exogeneity, using a variant of general-to-specific modeling. Based on the recent developments of impulse saturation applied to marginal models under the null that no impulses matter, we select the significant impulses for testing in the conditional. Since zero-mean changes are relatively undetectable in both VARs and conditional equations, we focus on location shifts, although we also discuss variance changes. The approximate analytical non-centrality of the test is derived for a failure of weak exogeneity when there is a shift in the marginal process. Monte Carlo simulations confirm the empirical accuracy of the nominal significance levels under the null, and show rejections for this failure of super exogeneity. An empirical application to UK M1 delivers new results for this much-studied data set.

Keywords: Super exogeneity; General-to-specific; Impulse saturation; Test power; Co-breaking; UK M1 (search for similar items in EconPapers)
JEL-codes: C22 C51 (search for similar items in EconPapers)
Date: 2010-01-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (80)

Downloads: (external link)
https://ora.ox.ac.uk/objects/uuid:899f89f9-52a2-4469-b7cb-5d25cb2d97c1 (text/html)

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:oxf:wpaper:476

Access Statistics for this paper

More papers in Economics Series Working Papers from University of Oxford, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Anne Pouliquen ( this e-mail address is bad, please contact ).