Moral-Benito, EnriqueServen, Luis2014-10-062014-10-062014-09https://hdl.handle.net/10986/20372For 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-USCC BY 3.0 IGOALTERNATIVE TESTASYMPTOTIC DISTRIBUTIONBUSINESS CYCLESCOINTEGRATIONCONSUMPTION FUNCTIONCOVARIANCEDEGREES OF FREEDOMDEVELOPMENT POLICYDEVELOPMENT RESEARCHDISEQUILIBRIUMDISPOSABLE INCOMEDISTRIBUTION FUNCTIONDYNAMIC HETEROGENEOUS PANELSDYNAMIC PANELDYNAMIC PANELSECONOMETRICSECONOMETRICS OF PANEL DATAECONOMIC THEORYECONOMIC TIME SERIESEMPIRICAL ANALYSISENDOGENOUS VARIABLESEQUATIONSERRORERROR TERMEXOGENOUS VARIABLESEXPERIMENTSFINITE SAMPLESINCOMPLETE MARKETSJOURNAL OF ECONOMETRICSLAG LENGTHLARGE NLINEAR REGRESSIONMACROECONOMICSMATRICESMATRIXMEAN GROUPMEAN GROUP ESTIMATIONMODELING0 HYPOTHESISNUMBER OF PARAMETERSNUMBER OF VARIABLESPANEL DATAPARAMETER VECTORPERIOD TPREDICTIONSPURCHASING POWERPURCHASING POWER PARITYPURE TIME SERIES DATARESEARCH WORKING PAPERSRESEARCHERSSAMPLE SIZESECTIONAL UNITSSERIAL CORRELATIONSET OF VARIABLESSIMULATIONSIMULATIONSSTATISTICAL ANALYSISSTATISTICAL INFERENCESTOCK PRICESTECHNIQUESTEST STATISTICTEST STATISTICSTIME PERIODSTIME-SERIESUNIT ROOTSVALIDITYWEALTH10.1596/1813-9450-7045