An automatic test of super exogeneity

An automatic test of super exogeneity

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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...

書誌詳細
主要な著者:	Hendry, D, Santos, C
フォーマット:	Working paper
出版事項:	University of Oxford 2010

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