(Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models

被引：3
作者：
Mayer, Alexander [1 ,2 ]
机构：
[1] WHU Otto Beisheim Sch Management, Burgpl 2, D-56179 Vallendar, Germany
[2] Univ Cologne, Albertus Magnus Pl, D-50923 Cologne, Germany
来源：
ECONOMICS LETTERS | 2020年 / 193卷
关键词：
Strict exogeneity; Long autoregressions; Kernel function; Extreme value theory; Many regressors/instruments; INFERENCE; INDEPENDENCE; APPROXIMATIONS; OLS;
D O I：
10.1016/j.econlet.2020.109335
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
A portmanteau and a maximum statistic are proposed to discern strictly exogenous from predetermined regressors. Both test statistics rely on residual cross-correlations, pre-whitened via autoregressive sieves. Limiting normality of the portmanteau statistic and Gumbel-convergence of the maximum statistic are derived. (C) 2020 Elsevier B.V. All rights reserved.
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页数：5
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