Search Results - subject:"Exogeneity"

Weak exogeneity, cointegration and stability tests

Bianchi, Annamaria; Khalaf, Lynda; Urga, Giovanni - 2025

Persistent link: https://www.econbiz.de/10015191531

A properly ordered zero sign restrictions on VARX for a small open economy

Kim, Ki-Ho - 2025

Persistent link: https://www.econbiz.de/10015328914

Moment restrictions for nonlinear panel data models with feedback

Bonhomme, Stéphane; Dano, Kevin; Graham, Bryan S. - 2025

Many panel data methods, while allowing for general dependence between covariates and time-invariant agent-specific heterogeneity, place strong a priori restrictions on feedback: how past outcomes, covariates, and heterogeneity map into future covariate levels. Ruling out feedback entirely, as...

Persistent link: https://www.econbiz.de/10015419990

Linear regression with weak exogeneity

Mikusheva, Anna; Sølvsten, Mikkel - In: Quantitative economics : QE ; journal of the … 16 (2025) 2, pp. 367-403

This paper studies linear time‐series regressions with many regressors. Weak exogeneity is the most used identifying … assumption in time series. Weak exogeneity requires the structural error to have zero conditional expectation given present and … past regressor values, allowing errors to correlate with future regressor realizations. We show that weak exogeneity in …

Persistent link: https://www.econbiz.de/10015423082

Testing for endogeneity : a moment-based Bayesian approach

Chib, Siddhartha; Shin, Minchul; Simoni, Anna - 2024

Persistent link: https://www.econbiz.de/10015340165

Global oil price swings: Has their effect on Malta changed over time?

Ruisi, Germano - 2023

This paper develops a two-block Structural Vector Autoregression featuring time-varying parameters and stochastic volatility to estimate the changing spillover of global oil shocks into the Maltese economy during the period that goes from January 2008 to March 2022. The model is estimated by...

Persistent link: https://www.econbiz.de/10014551795

Money supply determination process for Japan

Ongan, Serdar; Gocer, Ismet - In: Journal of Central Banking Theory and Practice 12 (2023) 1, pp. 249-261

, Yu and Greenwood-Nimmo, (2014) is applied. This model allows us to examine the endogeneity and exogeneity of the money …

Persistent link: https://www.econbiz.de/10014558518

Tests of no cross-sectional error dependence in panel quantile regressions

Demetrescu, Matei; Hosseinkouchack, Mehdi; Rodrigues, … - 2023

This paper argues that cross-sectional dependence (CSD) is an indicator of misspecification in panel quantile regression (QR) rather than just a nuisance that may be accounted for with panel-robust standard errors. This motivates the development of a novel test for panel QR misspecification...

Persistent link: https://www.econbiz.de/10014376027

Global oil price swings : has their effect on Malta changed over time?

Ruisi, Germano - 2023

Persistent link: https://www.econbiz.de/10014380679

Tests of no cross-sectional error dependence in panel quantile regressions

Demetrescu, Matei; Hosseinkouchack, Mehdi; Rodrigues, … - 2023

Persistent link: https://www.econbiz.de/10014366629