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...

Полное описание

Библиографические подробности
Главные авторы:	Hendry, D, Santos, C
Формат:	Working paper
Опубликовано:	University of Oxford 2010

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