Testing for super-exogeneity in the presence of common deterministic shifts

Detalhes bibliográficos
Autor(a) principal: Toro, Juan
Data de Publicação: 2001
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/12696
Resumo: This paper introduces the concept of common deterministic shifts (CDS). This concept is simple, intuitive and relates to the common structure of shifts or policy interventions. We propose a Reduced Rank technique to investigate the presence of CDS. The proposed testing procedure has standard asymptotics and good small-sample properties. We further link the concept of CDS to that of superexogeneity. It is shown that CDS tests can be constructed which allow to test for super-exogeneity. The Monte Carlo evidence indicates that the CDS test for super-exogeneity dominates testing procedures proposed in the literature.
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spelling Toro, JuanEscolas::EPGEFGV2014-12-02T13:10:23Z2014-12-02T13:10:23Z2001-11-22http://hdl.handle.net/10438/12696This paper introduces the concept of common deterministic shifts (CDS). This concept is simple, intuitive and relates to the common structure of shifts or policy interventions. We propose a Reduced Rank technique to investigate the presence of CDS. The proposed testing procedure has standard asymptotics and good small-sample properties. We further link the concept of CDS to that of superexogeneity. It is shown that CDS tests can be constructed which allow to test for super-exogeneity. The Monte Carlo evidence indicates that the CDS test for super-exogeneity dominates testing procedures proposed in the literature.engEscola de Pós-Graduação em Economia da FGVSeminários de pesquisa econômica da EPGE;Todo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveisinfo:eu-repo/semantics/openAccessSuper exogeneityReduced rank regressionRegime shiftsMarkov switchingCo-breakingEconomiaAnálise de regressãoEconometriaTesting for super-exogeneity in the presence of common deterministic shiftsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINAL000348929.pdf000348929.pdfapplication/pdf335270https://repositorio.fgv.br/bitstreams/282b5539-5058-49cf-ada6-8a694fb07e0a/download01a5a56fb7c9c100e116deb78053f1d1MD51LICENSElicense.txtlicense.txttext/plain; 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dc.title.eng.fl_str_mv Testing for super-exogeneity in the presence of common deterministic shifts
title Testing for super-exogeneity in the presence of common deterministic shifts
spellingShingle Testing for super-exogeneity in the presence of common deterministic shifts
Toro, Juan
Super exogeneity
Reduced rank regression
Regime shifts
Markov switching
Co-breaking
Economia
Análise de regressão
Econometria
title_short Testing for super-exogeneity in the presence of common deterministic shifts
title_full Testing for super-exogeneity in the presence of common deterministic shifts
title_fullStr Testing for super-exogeneity in the presence of common deterministic shifts
title_full_unstemmed Testing for super-exogeneity in the presence of common deterministic shifts
title_sort Testing for super-exogeneity in the presence of common deterministic shifts
author Toro, Juan
author_facet Toro, Juan
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.author.fl_str_mv Toro, Juan
dc.subject.eng.fl_str_mv Super exogeneity
Reduced rank regression
Regime shifts
Markov switching
Co-breaking
topic Super exogeneity
Reduced rank regression
Regime shifts
Markov switching
Co-breaking
Economia
Análise de regressão
Econometria
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Análise de regressão
Econometria
description This paper introduces the concept of common deterministic shifts (CDS). This concept is simple, intuitive and relates to the common structure of shifts or policy interventions. We propose a Reduced Rank technique to investigate the presence of CDS. The proposed testing procedure has standard asymptotics and good small-sample properties. We further link the concept of CDS to that of superexogeneity. It is shown that CDS tests can be constructed which allow to test for super-exogeneity. The Monte Carlo evidence indicates that the CDS test for super-exogeneity dominates testing procedures proposed in the literature.
publishDate 2001
dc.date.issued.fl_str_mv 2001-11-22
dc.date.accessioned.fl_str_mv 2014-12-02T13:10:23Z
dc.date.available.fl_str_mv 2014-12-02T13:10:23Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/12696
url http://hdl.handle.net/10438/12696
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartofseries.por.fl_str_mv Seminários de pesquisa econômica da EPGE;
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
instname:Fundação Getulio Vargas (FGV)
instacron:FGV
instname_str Fundação Getulio Vargas (FGV)
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institution FGV
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collection Repositório Institucional do FGV (FGV Repositório Digital)
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