Add to ORKGWe develop a new automatically-computable test for super exogeneity, using a variant of general-to-specific modelling. Based on the recent developments of impulse saturation applied to marginal models under the null that no impulses matter, we select the significant impulses for testing in the conditional. The approximate analytical non-centrality of the test is derived for a failure of invariance and of weak exogeneity when there is a shift in the conditional model. Monte Carlo simulations confirm the nominal significance levels under the null, and power against the two alternatives
This paper proposes a test for the null that, in a cointegrated panel, the long-run correlation betw...
The local asymptotic power of a variable addition test for strict exogeneity in a linear panel model...
International audienceIn this paper, we propose a robust test of exogeneity. The test statistics is ...
We develop a new automatically-computable test for super exogeneity, using a variant of general-to-s...
We develop a new automatically-computable test for super exogeneity, using a variant of general-to-s...
We establish that under mild conditions, testing for the individual sig-nificance of an impulse indi...
This paper introduces tests of superexogeneity and invariance. Under the null hypothesis, the condit...
We establish that under mild conditions, testing for the individual significance of an impulse indic...
This paper introduces the concept of common deterministic shifts (CDS). This concept is simple, intu...
This paper proposes a novel way of testing exogeneity of an explanatory variable without any paramet...
This paper examines the finite-sample power of tests of structural invariance and superexogeneity hy...
We consider the following problem. A structural equation of interest contains two sets of explanator...
This paper is concerned with inference about a function g that is identified by a conditional moment...
This note considers how hypotheses of invariance and super exogeneity may be formulated and tested i...
This paper unifies two seemingly separate approaches to test weak exogeneity in dynamic regression m...
This paper proposes a test for the null that, in a cointegrated panel, the long-run correlation betw...
The local asymptotic power of a variable addition test for strict exogeneity in a linear panel model...
International audienceIn this paper, we propose a robust test of exogeneity. The test statistics is ...
We develop a new automatically-computable test for super exogeneity, using a variant of general-to-s...
We develop a new automatically-computable test for super exogeneity, using a variant of general-to-s...
We establish that under mild conditions, testing for the individual sig-nificance of an impulse indi...
This paper introduces tests of superexogeneity and invariance. Under the null hypothesis, the condit...
We establish that under mild conditions, testing for the individual significance of an impulse indic...
This paper introduces the concept of common deterministic shifts (CDS). This concept is simple, intu...
This paper proposes a novel way of testing exogeneity of an explanatory variable without any paramet...
This paper examines the finite-sample power of tests of structural invariance and superexogeneity hy...
We consider the following problem. A structural equation of interest contains two sets of explanator...
This paper is concerned with inference about a function g that is identified by a conditional moment...
This note considers how hypotheses of invariance and super exogeneity may be formulated and tested i...
This paper unifies two seemingly separate approaches to test weak exogeneity in dynamic regression m...
This paper proposes a test for the null that, in a cointegrated panel, the long-run correlation betw...
The local asymptotic power of a variable addition test for strict exogeneity in a linear panel model...
International audienceIn this paper, we propose a robust test of exogeneity. The test statistics is ...