Testing Weak Exogeneity in Cointegrated Panels:
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...
Gespeichert in:
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
The World Bank
2014
|
| Online-Zugang: | BSB01 FHI01 HTW01 EUV01 Volltext |
| Zusammenfassung: | 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 |
| Beschreibung: | 1 Online-Ressource (23 p) |
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| language | English |
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| spelling | Moral-Benito, Enrique Verfasser aut Testing Weak Exogeneity in Cointegrated Panels Moral-Benito, Enrique Washington, D.C The World Bank 2014 1 Online-Ressource (23 p) txt rdacontent c rdamedia cr rdacarrier 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 Moral-Benito, Enrique oth Serven, Luis oth Moral-Benito, Enrique Testing Weak Exogeneity in Cointegrated Panels http://elibrary.worldbank.org/content/workingpaper/10.1596/1813-9450-7045 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Moral-Benito, Enrique Testing Weak Exogeneity in Cointegrated Panels |
| title | Testing Weak Exogeneity in Cointegrated Panels |
| title_auth | Testing Weak Exogeneity in Cointegrated Panels |
| title_exact_search | Testing Weak Exogeneity in Cointegrated Panels |
| title_exact_search_txtP | Testing Weak Exogeneity in Cointegrated Panels |
| title_full | Testing Weak Exogeneity in Cointegrated Panels Moral-Benito, Enrique |
| title_fullStr | Testing Weak Exogeneity in Cointegrated Panels Moral-Benito, Enrique |
| title_full_unstemmed | Testing Weak Exogeneity in Cointegrated Panels Moral-Benito, Enrique |
| title_short | Testing Weak Exogeneity in Cointegrated Panels |
| title_sort | testing weak exogeneity in cointegrated panels |
| url | http://elibrary.worldbank.org/content/workingpaper/10.1596/1813-9450-7045 |
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