Testing Weak Exogeneity in Cointegrated Panels

• Tác giả: Enrique Moral-Benito
• Ngôn ngữ: eng
• Ký hiệu phân loại: 001.43 Historical, descriptive, experimental methods
• Thông tin xuất bản: Taylor and Francis, 2015
• Bộ sưu tập: Tài liệu truy cập mở
• ID: 328529
• Chủ đề: 1. cointegration; 2. Monte Carlo methods; 3. panel data; 4. regression analysis; 5. weak exogeneity

Tóm tắt

For reasons of empirical tractability, analysis of cointegrated economic time series is often developed in a partial setting, in which a subset of variables is explicitly modelled conditional on the rest. This approach yields valid inference only if the conditioning variables are weakly exogenous for the parameters of interest. This article proposes a new test of weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first letting T → ∞ and then letting N → ∞. We evaluate the accuracy of the asymptotic approximation in finite samples via simulation experiments. Finally, as an empirical illustration, we test weak exogeneity of disposable income and wealth in aggregate consumption.