Jump to ContentJump to Main Navigation
Empirical Model Discovery and Theory EvaluationAutomatic Selection Methods in Econometrics$
Users without a subscription are not able to see the full content.

David F. Hendry and Jurgen A. Doornik

Print publication date: 2014

Print ISBN-13: 9780262028356

Published to MIT Press Scholarship Online: January 2015

DOI: 10.7551/mitpress/9780262028356.001.0001

Show Summary Details
Page of

PRINTED FROM MIT PRESS SCHOLARSHIP ONLINE (www.mitpress.universitypressscholarship.com). (c) Copyright The MIT Press, 2022. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in MITSO for personal use.date: 03 July 2022

Testing Super Exogeneity

Testing Super Exogeneity

Chapter:
(p.263) 22 Testing Super Exogeneity
Source:
Empirical Model Discovery and Theory Evaluation
Author(s):

David F. Hendry

Publisher:
The MIT Press
DOI:10.7551/mitpress/9780262028356.003.0022

An automatically computable test is described, with null rejection frequencies that are close to the nominal size, and potency for failures of super exogeneity. Impulse-indicator saturation is undertaken in the marginal models of the putative exogenous variables that enter the conditional model contemporaneously, and all significant outcomes are recorded. These indicators from the marginal models are added to the conditional model and tested for significance. Under the null of super exogeneity, the test has the correct gauge for a range of sizes of marginal-model saturation tests, both when those processes are constant, and when they undergo shifts in either mean or variance. Failures of super exogeneity from a violation of weak exogeneity are shown to be detectable when there are location shifts in the marginal models. The distribution and potency of the test are derived and simulated, with an application to testing super exogeneity for UK consumers’ expenditure.

Keywords:   Super exogeneity, Invariance, marginal models, impulse-indicator saturation

MIT Press Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs, and if you can't find the answer there, please contact us.