An automatic test of super exogeneity
We develop a new automatically-computable test for super exogeneity, using a variant of general-to-specific modeling. Based on the recent developments of impulse saturation applied to marginal models under the null that no impulses matter, we select the significant impulses for testing in the condi...
| Hauptverfasser: | , |
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| Format: | Working paper |
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University of Oxford
2010
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| _version_ | 1826283562376101888 |
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| author | Hendry, D Santos, C |
| author_facet | Hendry, D Santos, C |
| author_sort | Hendry, D |
| collection | OXFORD |
| description | We develop a new automatically-computable test for super exogeneity, using a variant of general-to-specific modeling. Based on the recent developments of impulse saturation applied to marginal models under the null that no impulses matter, we select the significant impulses for testing in the conditional. Since zero-mean changes are relatively undetectable in both VARs and conditional equations, we focus on location shifts, although we also discuss variance changes. The approximate analytical non-centrality of the test is derived for a failure of weak exogeneity when there is a shift in the marginal process. Monte Carlo simulations confirm the empirical accuracy of the nominal significance levels under the null, and show rejections for this failure of super exogeneity. An empirical application to UK M1 delivers new results for this much-studied data set. |
| first_indexed | 2024-03-07T01:00:44Z |
| format | Working paper |
| id | oxford-uuid:899f89f9-52a2-4469-b7cb-5d25cb2d97c1 |
| institution | University of Oxford |
| last_indexed | 2024-03-07T01:00:44Z |
| publishDate | 2010 |
| publisher | University of Oxford |
| record_format | dspace |
| spelling | oxford-uuid:899f89f9-52a2-4469-b7cb-5d25cb2d97c12022-03-26T22:25:58ZAn automatic test of super exogeneityWorking paperhttp://purl.org/coar/resource_type/c_8042uuid:899f89f9-52a2-4469-b7cb-5d25cb2d97c1Bulk import via SwordSymplectic ElementsUniversity of Oxford2010Hendry, DSantos, CWe develop a new automatically-computable test for super exogeneity, using a variant of general-to-specific modeling. Based on the recent developments of impulse saturation applied to marginal models under the null that no impulses matter, we select the significant impulses for testing in the conditional. Since zero-mean changes are relatively undetectable in both VARs and conditional equations, we focus on location shifts, although we also discuss variance changes. The approximate analytical non-centrality of the test is derived for a failure of weak exogeneity when there is a shift in the marginal process. Monte Carlo simulations confirm the empirical accuracy of the nominal significance levels under the null, and show rejections for this failure of super exogeneity. An empirical application to UK M1 delivers new results for this much-studied data set. |
| spellingShingle | Hendry, D Santos, C An automatic test of super exogeneity |
| title | An automatic test of super exogeneity |
| title_full | An automatic test of super exogeneity |
| title_fullStr | An automatic test of super exogeneity |
| title_full_unstemmed | An automatic test of super exogeneity |
| title_short | An automatic test of super exogeneity |
| title_sort | automatic test of super exogeneity |
| work_keys_str_mv | AT hendryd anautomatictestofsuperexogeneity AT santosc anautomatictestofsuperexogeneity AT hendryd automatictestofsuperexogeneity AT santosc automatictestofsuperexogeneity |