Working paper icon

Working paper

An automatic test of super exogeneity

Abstract:

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 analyti...

Expand abstract
Publication status:
Published

Actions


Access Document


Files:
Publisher:
University of Oxford
Series:
Department of Economics Discussion Paper Series
Publication date:
2010-01-01
Paper number:
476
Keywords:
Pubs id:
1143957
Local pid:
pubs:1143957
Deposit date:
2020-12-15

Terms of use


Views and Downloads






If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP