Testing Weak Exogeneity in Cointegrated Panels

Moral-Benito, Enrique ; Serven, Luis

World Bank Group, Washington, DC

关键词: ALTERNATIVE TEST;    ASYMPTOTIC DISTRIBUTION;    BUSINESS CYCLES;    COINTEGRATION;    CONSUMPTION FUNCTION;   

DOI  :  10.1596/1813-9450-7045
RP-ID  :  WPS7045

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 reason of empirical tractability,analysis of cointegrated economic time series is oftendeveloped in a partial setting, in which a subset ofvariables is explicitly modeled conditional on the rest.This approach yields valid inference only if theconditioning variables are weakly exogenous for theparameters of interest. This paper proposes a new test ofweak exogeneity in panel cointegration models. The test hasa limiting Gumbel distribution that is obtained by firstletting the time dimension of the panel go to infinity andthen letting its cross-sectional dimension go to infinity.The paper evaluates the accuracy of the asymptoticapproximation in finite samples via simulation experiments.Finally, as an empirical illustration, the paper reportstests of weak exogeneity of disposable income and wealth inan aggregate consumption equation.