AUTOMATIC TESTS for SUPER EXOGENEITY

David Forbes Hendry · Carlos Santos

12 citations0/0 files storedRePEc: Research Papers in Economics

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Monetary Policy and Economic Impact Advanced Statistical Methods and Models Diverse Scientific and Economic Studies

Abstract

We develop a new automatically-computable test for super exogeneity, using a variant of general-to-specific modelling. Based on the recent developments in 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 for a failure of weak exogeneity when there is a shift in the marginal model. Monte Carlo simulations confirm the nominal significance levels under the null, and power against the two alternatives

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1976Econometric policy evaluation: A critique 1999Forecasting Non-Stationary Economic Time Series 1993Testing superexogeneity and invariance in regression models 1992Testing the lucas critique: A review 1976The use of dummy variables to compute predictions, prediction errors, and confidence intervals 1995The Lucas Critique in Practice: Theory Without Measurement 2006Co-Breaking

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