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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...

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Authors


David F. Hendry More by this author
Carlos Santos More by this author
Volume:
476
Series:
Discussion paper series
Publication date:
2010
URN:
uuid:c75688d7-a52f-4ebf-8a95-d71542943175
Local pid:
oai:economics.ouls.ox.ac.uk:14732
Language:
English

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