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Testing weak exogeneity in cointegrated panels

Author: Enrique Moral-Benito; Luis Serven; World Bank. Development Research Group. Macroeconomics and Growth.
Publisher: Washington, D.C., The World Bank, 2014.
Series: Policy research working papers, 7045.
Edition/Format:   eBook : Document : International government publication : EnglishView all editions and formats
Database:WorldCat
Summary:
"For reason of empirical tractability, analysis of cointegrated economic time series is often developed in a partial setting, in which a subset of variables is explicitly modeled conditional on the rest. This approach yields valid inference only if the conditioning variables are weakly exogenous for the parameters of interest. This paper proposes a new test of weak exogeneity in panel cointegration models. The test  Read more...
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Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Enrique Moral-Benito; Luis Serven; World Bank. Development Research Group. Macroeconomics and Growth.
OCLC Number: 897021846
Notes: "Development Research Group, Macroeconomics and Growth Team."
"September 2014."
Description: 1 online resource (23 p.)
Series Title: Policy research working papers, 7045.
Responsibility: Enrique Moral-Benito, Luis Serven.

Abstract:

"For reason of empirical tractability, analysis of cointegrated economic time series is often developed in a partial setting, in which a subset of variables is explicitly modeled conditional on the rest. This approach yields valid inference only if the conditioning variables are weakly exogenous for the parameters of interest. This paper proposes a new test of weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first letting the time dimension of the panel go to infinity and then letting its cross-sectional dimension go to infinity. The paper evaluates the accuracy of the asymptotic approximation in finite samples via simulation experiments. Finally, as an empirical illustration, the paper reports tests of weak exogeneity of disposable income and wealth in an aggregate consumption equation"--Abstract.

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