Testing Weak Exogeneity in Cointegrated Panels

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 fo...

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Main Authors:	Moral-Benito, Enrique, Serven, Luis
Format:	Journal Article
Language:	en_US
Published:	Taylor and Francis 2015
Subjects:	panel data cointegration weak exogeneity Monte Carlo methods regression analysis disposable income wealth aggregate consumption
Online Access:	http://hdl.handle.net/10986/21608

id	okr-10986-21608
recordtype	oai_dc
spelling	okr-10986-216082021-04-23T14:04:03Z Testing Weak Exogeneity in Cointegrated Panels Moral-Benito, Enrique Serven, Luis panel data cointegration weak exogeneity Monte Carlo methods regression analysis disposable income wealth aggregate consumption 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. 2015-03-17T20:07:35Z 2015-03-17T20:07:35Z 2015-02-19 Journal Article Applied Economics 0003-6846 http://hdl.handle.net/10986/21608 en_US CC BY-NC-ND 3.0 IGO http://creativecommons.org/licenses/by-nc-nd/3.0/igo World Bank Taylor and Francis Publications & Research Publications & Research :: Journal Article
repository_type	Digital Repository
institution_category	Foreign Institution
institution	Digital Repositories
building	World Bank Open Knowledge Repository
collection	World Bank
language	en_US
topic	panel data cointegration weak exogeneity Monte Carlo methods regression analysis disposable income wealth aggregate consumption
spellingShingle	panel data cointegration weak exogeneity Monte Carlo methods regression analysis disposable income wealth aggregate consumption Moral-Benito, Enrique Serven, Luis Testing Weak Exogeneity in Cointegrated Panels
description	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.
format	Journal Article
author	Moral-Benito, Enrique Serven, Luis
author_facet	Moral-Benito, Enrique Serven, Luis
author_sort	Moral-Benito, Enrique
title	Testing Weak Exogeneity in Cointegrated Panels
title_short	Testing Weak Exogeneity in Cointegrated Panels
title_full	Testing Weak Exogeneity in Cointegrated Panels
title_fullStr	Testing Weak Exogeneity in Cointegrated Panels
title_full_unstemmed	Testing Weak Exogeneity in Cointegrated Panels
title_sort	testing weak exogeneity in cointegrated panels
publisher	Taylor and Francis
publishDate	2015
url	http://hdl.handle.net/10986/21608
_version_	1764448755760758784

Testing Weak Exogeneity in Cointegrated Panels

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