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...
| Main Authors: | , |
|---|---|
| Format: | Working paper |
| Jezik: | English |
| Izdano: |
Department of Economics (University of Oxford)
2010
|