Publication:
Testing Weak Exogeneity in Cointegrated Panels

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dc.contributor.authorMoral-Benito, Enrique
dc.contributor.authorServen, Luis
dc.date.accessioned2014-10-06T20:30:27Z
dc.date.available2014-10-06T20:30:27Z
dc.date.issued2014-09
dc.description.abstractFor reason of empirical tractability, analysis of cointegrated economic time series is often developed in a partial setting, in which a subset of variables is explicitly modeled conditional on the rest. This approach yields valid inference only if the conditioning variables are weakly exogenous for the parameters of interest. This paper proposes a new test of weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first letting the time dimension of the panel go to infinity and then letting its cross-sectional dimension go to infinity. The paper evaluates the accuracy of the asymptotic approximation in finite samples via simulation experiments. Finally, as an empirical illustration, the paper reports tests of weak exogeneity of disposable income and wealth in an aggregate consumption equation.en
dc.identifierhttp://documents.worldbank.org/curated/en/2014/09/20230197/testing-weak-exogeneity-cointegrated-panels
dc.identifier.doi10.1596/1813-9450-7045
dc.identifier.urihttps://hdl.handle.net/10986/20372
dc.languageEnglish
dc.language.isoen_US
dc.publisherWorld Bank Group, Washington, DC
dc.relation.ispartofseriesPolicy Research Working Paper;No. 7045
dc.rightsCC BY 3.0 IGO
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/igo/
dc.subjectALTERNATIVE TEST
dc.subjectASYMPTOTIC DISTRIBUTION
dc.subjectBUSINESS CYCLES
dc.subjectCOINTEGRATION
dc.subjectCONSUMPTION FUNCTION
dc.subjectCOVARIANCE
dc.subjectDEGREES OF FREEDOM
dc.subjectDEVELOPMENT POLICY
dc.subjectDEVELOPMENT RESEARCH
dc.subjectDISEQUILIBRIUM
dc.subjectDISPOSABLE INCOME
dc.subjectDISTRIBUTION FUNCTION
dc.subjectDYNAMIC HETEROGENEOUS PANELS
dc.subjectDYNAMIC PANEL
dc.subjectDYNAMIC PANELS
dc.subjectECONOMETRICS
dc.subjectECONOMETRICS OF PANEL DATA
dc.subjectECONOMIC THEORY
dc.subjectECONOMIC TIME SERIES
dc.subjectEMPIRICAL ANALYSIS
dc.subjectENDOGENOUS VARIABLES
dc.subjectEQUATIONS
dc.subjectERROR
dc.subjectERROR TERM
dc.subjectEXOGENOUS VARIABLES
dc.subjectEXPERIMENTS
dc.subjectFINITE SAMPLES
dc.subjectINCOMPLETE MARKETS
dc.subjectJOURNAL OF ECONOMETRICS
dc.subjectLAG LENGTH
dc.subjectLARGE N
dc.subjectLINEAR REGRESSION
dc.subjectMACROECONOMICS
dc.subjectMATRICES
dc.subjectMATRIX
dc.subjectMEAN GROUP
dc.subjectMEAN GROUP ESTIMATION
dc.subjectMODELING
dc.subject0 HYPOTHESIS
dc.subjectNUMBER OF PARAMETERS
dc.subjectNUMBER OF VARIABLES
dc.subjectPANEL DATA
dc.subjectPARAMETER VECTOR
dc.subjectPERIOD T
dc.subjectPREDICTIONS
dc.subjectPURCHASING POWER
dc.subjectPURCHASING POWER PARITY
dc.subjectPURE TIME SERIES DATA
dc.subjectRESEARCH WORKING PAPERS
dc.subjectRESEARCHERS
dc.subjectSAMPLE SIZE
dc.subjectSECTIONAL UNITS
dc.subjectSERIAL CORRELATION
dc.subjectSET OF VARIABLES
dc.subjectSIMULATION
dc.subjectSIMULATIONS
dc.subjectSTATISTICAL ANALYSIS
dc.subjectSTATISTICAL INFERENCE
dc.subjectSTOCK PRICES
dc.subjectTECHNIQUES
dc.subjectTEST STATISTIC
dc.subjectTEST STATISTICS
dc.subjectTIME PERIODS
dc.subjectTIME-SERIES
dc.subjectUNIT ROOTS
dc.subjectVALIDITY
dc.subjectWEALTH
dc.titleTesting Weak Exogeneity in Cointegrated Panelsen
dspace.entity.typePublication
okr.crossref.titleTesting Weak Exogeneity in Cointegrated Panels
okr.date.disclosure2014-09-01
okr.date.doiregistration2025-04-10T09:50:08.794633Z
okr.doctypePublications & Research::Policy Research Working Paper
okr.doctypePublications & Research
okr.docurlhttp://documents.worldbank.org/curated/en/2014/09/20230197/testing-weak-exogeneity-cointegrated-panels
okr.globalpracticeMacroeconomics and Fiscal Management
okr.globalpracticeEducation
okr.globalpracticeTransport and ICT
okr.guid680551468331210716
okr.identifier.doi10.1596/1813-9450-7045
okr.identifier.externaldocumentum000158349_20140923153947
okr.identifier.internaldocumentum20230197
okr.identifier.reportWPS7045
okr.language.supporteden
okr.pdfurlhttp://www-wds.worldbank.org/external/default/WDSContentServer/WDSP/IB/2014/09/23/000158349_20140923153947/Rendered/PDF/WPS7045.pdfen
okr.relation.associatedurlhttps://openknowledge.worldbank.org/handle/10986/21608
okr.topicStatistical and Mathematical Sciences
okr.topicMacroeconomics and Economic Growth::Econometrics
okr.topicEconomic Theory and Research
okr.topicScience Education
okr.topicScientific Research and Science Parks
okr.topicEducation
okr.topicScience and Technology Development
okr.unitMacroeconomics and Growth Team, Development Research Group
okr.volume1 of 1
relation.isAuthorOfPublication2c4139d2-7458-5296-9aea-6d3db3e1ae1e
relation.isAuthorOfPublication.latestForDiscovery2c4139d2-7458-5296-9aea-6d3db3e1ae1e
relation.isSeriesOfPublication26e071dc-b0bf-409c-b982-df2970295c87
relation.isSeriesOfPublication.latestForDiscovery26e071dc-b0bf-409c-b982-df2970295c87
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