Mayer, Alexander (2020). (Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models. Econ. Lett., 193. LAUSANNE: ELSEVIER SCIENCE SA. ISSN 1873-7374
Full text not available from this repository.Abstract
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.
| Item Type: | Journal Article | ||||||||
| Creators: |
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| URN: | urn:nbn:de:hbz:38-325202 | ||||||||
| DOI: | 10.1016/j.econlet.2020.109335 | ||||||||
| Journal or Publication Title: | Econ. Lett. | ||||||||
| Volume: | 193 | ||||||||
| Date: | 2020 | ||||||||
| Publisher: | ELSEVIER SCIENCE SA | ||||||||
| Place of Publication: | LAUSANNE | ||||||||
| ISSN: | 1873-7374 | ||||||||
| Language: | English | ||||||||
| Faculty: | Unspecified | ||||||||
| Divisions: | Unspecified | ||||||||
| Subjects: | no entry | ||||||||
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| URI: | http://kups.ub.uni-koeln.de/id/eprint/32520 |
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