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 …

This paper studies the limiting behavior of the test for instrument exogeneity in linear models when there is … researcher to use standard inference for testing instrument exogeneity without the need of any prior knowledge if the instruments …

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