Automatic Tests for Super Exogeneity

Detalhes bibliográficos
Autor(a) principal: Hendry, David
Data de Publicação: 2007
Outros Autores: Santos, Carlos
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.14/25302
Resumo: We develop a new automatically-computable test for super exogeneity, using a variant of general-to-specific modelling. Based on the recent developments in impulse saturation applied to marginal models under the null that no impulses matter, we select the significant impulses for testing in the conditional. The approximate analytical non-centrality of the test is derived for a failure of invariance and for a failure of weak exogeneity when there is a shift in the marginal model. Monte Carlo simulations confirm the nominal significance levels under the null, and power against the two alternatives
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spelling Automatic Tests for Super Exogeneitysuper exogeneitygeneral-to-specifictest powerindicatorsco-breakingWe develop a new automatically-computable test for super exogeneity, using a variant of general-to-specific modelling. Based on the recent developments in impulse saturation applied to marginal models under the null that no impulses matter, we select the significant impulses for testing in the conditional. The approximate analytical non-centrality of the test is derived for a failure of invariance and for a failure of weak exogeneity when there is a shift in the marginal model. Monte Carlo simulations confirm the nominal significance levels under the null, and power against the two alternativesVeritati - Repositório Institucional da Universidade Católica PortuguesaHendry, DavidSantos, Carlos2018-07-30T11:08:01Z20072007-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.14/25302engHendry, D., Santos, C. (2007). Automatic Tests for Super Exogeneity. Working Papers: Economics. N.º 11, 35 p.info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-12T17:30:41Zoai:repositorio.ucp.pt:10400.14/25302Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:20:09.818065Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Automatic Tests for Super Exogeneity
title Automatic Tests for Super Exogeneity
spellingShingle Automatic Tests for Super Exogeneity
Hendry, David
super exogeneity
general-to-specific
test power
indicators
co-breaking
title_short Automatic Tests for Super Exogeneity
title_full Automatic Tests for Super Exogeneity
title_fullStr Automatic Tests for Super Exogeneity
title_full_unstemmed Automatic Tests for Super Exogeneity
title_sort Automatic Tests for Super Exogeneity
author Hendry, David
author_facet Hendry, David
Santos, Carlos
author_role author
author2 Santos, Carlos
author2_role author
dc.contributor.none.fl_str_mv Veritati - Repositório Institucional da Universidade Católica Portuguesa
dc.contributor.author.fl_str_mv Hendry, David
Santos, Carlos
dc.subject.por.fl_str_mv super exogeneity
general-to-specific
test power
indicators
co-breaking
topic super exogeneity
general-to-specific
test power
indicators
co-breaking
description We develop a new automatically-computable test for super exogeneity, using a variant of general-to-specific modelling. Based on the recent developments in impulse saturation applied to marginal models under the null that no impulses matter, we select the significant impulses for testing in the conditional. The approximate analytical non-centrality of the test is derived for a failure of invariance and for a failure of weak exogeneity when there is a shift in the marginal model. Monte Carlo simulations confirm the nominal significance levels under the null, and power against the two alternatives
publishDate 2007
dc.date.none.fl_str_mv 2007
2007-01-01T00:00:00Z
2018-07-30T11:08:01Z
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/10400.14/25302
url http://hdl.handle.net/10400.14/25302
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Hendry, D., Santos, C. (2007). Automatic Tests for Super Exogeneity. Working Papers: Economics. N.º 11, 35 p.
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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