Testing Weak Exogeneity in Cointegrated System
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
Year of publication: |
2004-08-11
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Authors: | Chiying, Hsiao ; Pu, Chen |
Institutions: | Econometric Society |
Subject: | Error correction model | Exogeneity | Wald testest | VAR | Cointegration |
Saved in:
freely available
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | The text is part of a series Econometric Society Far Eastern Meetings 2004 Number 537 |
Classification: | C32 - Time-Series Models ; C12 - Hypothesis Testing |
Source: |
Persistent link: https://www.econbiz.de/10005086413
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