Testing Weak Exogeneity in Cointegrated Panels

Moral-Benito, Enrique ; Serven, Luis

Taylor and Francis

关键词: panel data;    cointegration;    weak exogeneity;    Monte Carlo methods;    regression analysis;   

DOI  :  10.1080/00036846.2015.1013611

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

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.