Testing Weak Exogeneity in Cointegrated Panels
For reason of empirical tractability, analysis of cointegrated economic time series is often developed in a partial setting, in which a subset of variables is explicitly modeled conditional on the rest. This approach yields valid inference only if the conditioning variables are weakly exogenous for the parameters of interest. This paper proposes a new test of weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first letting the time dimension of the panel go to infinity and then letting its cross-sectional dimension go to infinity. The paper evaluates the accuracy of the asymptotic approximation in finite samples via simulation experiments. Finally, as an empirical illustration, the paper reports tests of weak exogeneity of disposable income and wealth in an aggregate consumption equation.
Saved in:
| id |
dig-okr-1098620372 |
|---|---|
| record_format |
koha |
| spelling |
dig-okr-10986203722024-08-08T13:45:14Z Testing Weak Exogeneity in Cointegrated Panels Moral-Benito, Enrique Serven, Luis ALTERNATIVE TEST ASYMPTOTIC DISTRIBUTION BUSINESS CYCLES COINTEGRATION CONSUMPTION FUNCTION COVARIANCE DEGREES OF FREEDOM DEVELOPMENT POLICY DEVELOPMENT RESEARCH DISEQUILIBRIUM DISPOSABLE INCOME DISTRIBUTION FUNCTION DYNAMIC HETEROGENEOUS PANELS DYNAMIC PANEL DYNAMIC PANELS ECONOMETRICS ECONOMETRICS OF PANEL DATA ECONOMIC THEORY ECONOMIC TIME SERIES EMPIRICAL ANALYSIS ENDOGENOUS VARIABLES EQUATIONS ERROR ERROR TERM EXOGENOUS VARIABLES EXPERIMENTS FINITE SAMPLES INCOMPLETE MARKETS JOURNAL OF ECONOMETRICS LAG LENGTH LARGE N LINEAR REGRESSION MACROECONOMICS MATRICES MATRIX MEAN GROUP MEAN GROUP ESTIMATION MODELING 0 HYPOTHESIS NUMBER OF PARAMETERS NUMBER OF VARIABLES PANEL DATA PARAMETER VECTOR PERIOD T PREDICTIONS PURCHASING POWER PURCHASING POWER PARITY PURE TIME SERIES DATA RESEARCH WORKING PAPERS RESEARCHERS SAMPLE SIZE SECTIONAL UNITS SERIAL CORRELATION SET OF VARIABLES SIMULATION SIMULATIONS STATISTICAL ANALYSIS STATISTICAL INFERENCE STOCK PRICES TECHNIQUES TEST STATISTIC TEST STATISTICS TIME PERIODS TIME-SERIES UNIT ROOTS VALIDITY WEALTH For reason of empirical tractability, analysis of cointegrated economic time series is often developed in a partial setting, in which a subset of variables is explicitly modeled conditional on the rest. This approach yields valid inference only if the conditioning variables are weakly exogenous for the parameters of interest. This paper proposes a new test of weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first letting the time dimension of the panel go to infinity and then letting its cross-sectional dimension go to infinity. The paper evaluates the accuracy of the asymptotic approximation in finite samples via simulation experiments. Finally, as an empirical illustration, the paper reports tests of weak exogeneity of disposable income and wealth in an aggregate consumption equation. 2014-10-06T20:30:27Z 2014-10-06T20:30:27Z 2014-09 http://documents.worldbank.org/curated/en/2014/09/20230197/testing-weak-exogeneity-cointegrated-panels https://hdl.handle.net/10986/20372 English en_US Policy Research Working Paper;No. 7045 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ application/pdf text/plain World Bank Group, Washington, DC |
| institution |
Banco Mundial |
| collection |
DSpace |
| country |
Estados Unidos |
| countrycode |
US |
| component |
Bibliográfico |
| access |
En linea |
| databasecode |
dig-okr |
| tag |
biblioteca |
| region |
America del Norte |
| libraryname |
Biblioteca del Banco Mundial |
| language |
English en_US |
| topic |
ALTERNATIVE TEST ASYMPTOTIC DISTRIBUTION BUSINESS CYCLES COINTEGRATION CONSUMPTION FUNCTION COVARIANCE DEGREES OF FREEDOM DEVELOPMENT POLICY DEVELOPMENT RESEARCH DISEQUILIBRIUM DISPOSABLE INCOME DISTRIBUTION FUNCTION DYNAMIC HETEROGENEOUS PANELS DYNAMIC PANEL DYNAMIC PANELS ECONOMETRICS ECONOMETRICS OF PANEL DATA ECONOMIC THEORY ECONOMIC TIME SERIES EMPIRICAL ANALYSIS ENDOGENOUS VARIABLES EQUATIONS ERROR ERROR TERM EXOGENOUS VARIABLES EXPERIMENTS FINITE SAMPLES INCOMPLETE MARKETS JOURNAL OF ECONOMETRICS LAG LENGTH LARGE N LINEAR REGRESSION MACROECONOMICS MATRICES MATRIX MEAN GROUP MEAN GROUP ESTIMATION MODELING 0 HYPOTHESIS NUMBER OF PARAMETERS NUMBER OF VARIABLES PANEL DATA PARAMETER VECTOR PERIOD T PREDICTIONS PURCHASING POWER PURCHASING POWER PARITY PURE TIME SERIES DATA RESEARCH WORKING PAPERS RESEARCHERS SAMPLE SIZE SECTIONAL UNITS SERIAL CORRELATION SET OF VARIABLES SIMULATION SIMULATIONS STATISTICAL ANALYSIS STATISTICAL INFERENCE STOCK PRICES TECHNIQUES TEST STATISTIC TEST STATISTICS TIME PERIODS TIME-SERIES UNIT ROOTS VALIDITY WEALTH ALTERNATIVE TEST ASYMPTOTIC DISTRIBUTION BUSINESS CYCLES COINTEGRATION CONSUMPTION FUNCTION COVARIANCE DEGREES OF FREEDOM DEVELOPMENT POLICY DEVELOPMENT RESEARCH DISEQUILIBRIUM DISPOSABLE INCOME DISTRIBUTION FUNCTION DYNAMIC HETEROGENEOUS PANELS DYNAMIC PANEL DYNAMIC PANELS ECONOMETRICS ECONOMETRICS OF PANEL DATA ECONOMIC THEORY ECONOMIC TIME SERIES EMPIRICAL ANALYSIS ENDOGENOUS VARIABLES EQUATIONS ERROR ERROR TERM EXOGENOUS VARIABLES EXPERIMENTS FINITE SAMPLES INCOMPLETE MARKETS JOURNAL OF ECONOMETRICS LAG LENGTH LARGE N LINEAR REGRESSION MACROECONOMICS MATRICES MATRIX MEAN GROUP MEAN GROUP ESTIMATION MODELING 0 HYPOTHESIS NUMBER OF PARAMETERS NUMBER OF VARIABLES PANEL DATA PARAMETER VECTOR PERIOD T PREDICTIONS PURCHASING POWER PURCHASING POWER PARITY PURE TIME SERIES DATA RESEARCH WORKING PAPERS RESEARCHERS SAMPLE SIZE SECTIONAL UNITS SERIAL CORRELATION SET OF VARIABLES SIMULATION SIMULATIONS STATISTICAL ANALYSIS STATISTICAL INFERENCE STOCK PRICES TECHNIQUES TEST STATISTIC TEST STATISTICS TIME PERIODS TIME-SERIES UNIT ROOTS VALIDITY WEALTH |
| spellingShingle |
ALTERNATIVE TEST ASYMPTOTIC DISTRIBUTION BUSINESS CYCLES COINTEGRATION CONSUMPTION FUNCTION COVARIANCE DEGREES OF FREEDOM DEVELOPMENT POLICY DEVELOPMENT RESEARCH DISEQUILIBRIUM DISPOSABLE INCOME DISTRIBUTION FUNCTION DYNAMIC HETEROGENEOUS PANELS DYNAMIC PANEL DYNAMIC PANELS ECONOMETRICS ECONOMETRICS OF PANEL DATA ECONOMIC THEORY ECONOMIC TIME SERIES EMPIRICAL ANALYSIS ENDOGENOUS VARIABLES EQUATIONS ERROR ERROR TERM EXOGENOUS VARIABLES EXPERIMENTS FINITE SAMPLES INCOMPLETE MARKETS JOURNAL OF ECONOMETRICS LAG LENGTH LARGE N LINEAR REGRESSION MACROECONOMICS MATRICES MATRIX MEAN GROUP MEAN GROUP ESTIMATION MODELING 0 HYPOTHESIS NUMBER OF PARAMETERS NUMBER OF VARIABLES PANEL DATA PARAMETER VECTOR PERIOD T PREDICTIONS PURCHASING POWER PURCHASING POWER PARITY PURE TIME SERIES DATA RESEARCH WORKING PAPERS RESEARCHERS SAMPLE SIZE SECTIONAL UNITS SERIAL CORRELATION SET OF VARIABLES SIMULATION SIMULATIONS STATISTICAL ANALYSIS STATISTICAL INFERENCE STOCK PRICES TECHNIQUES TEST STATISTIC TEST STATISTICS TIME PERIODS TIME-SERIES UNIT ROOTS VALIDITY WEALTH ALTERNATIVE TEST ASYMPTOTIC DISTRIBUTION BUSINESS CYCLES COINTEGRATION CONSUMPTION FUNCTION COVARIANCE DEGREES OF FREEDOM DEVELOPMENT POLICY DEVELOPMENT RESEARCH DISEQUILIBRIUM DISPOSABLE INCOME DISTRIBUTION FUNCTION DYNAMIC HETEROGENEOUS PANELS DYNAMIC PANEL DYNAMIC PANELS ECONOMETRICS ECONOMETRICS OF PANEL DATA ECONOMIC THEORY ECONOMIC TIME SERIES EMPIRICAL ANALYSIS ENDOGENOUS VARIABLES EQUATIONS ERROR ERROR TERM EXOGENOUS VARIABLES EXPERIMENTS FINITE SAMPLES INCOMPLETE MARKETS JOURNAL OF ECONOMETRICS LAG LENGTH LARGE N LINEAR REGRESSION MACROECONOMICS MATRICES MATRIX MEAN GROUP MEAN GROUP ESTIMATION MODELING 0 HYPOTHESIS NUMBER OF PARAMETERS NUMBER OF VARIABLES PANEL DATA PARAMETER VECTOR PERIOD T PREDICTIONS PURCHASING POWER PURCHASING POWER PARITY PURE TIME SERIES DATA RESEARCH WORKING PAPERS RESEARCHERS SAMPLE SIZE SECTIONAL UNITS SERIAL CORRELATION SET OF VARIABLES SIMULATION SIMULATIONS STATISTICAL ANALYSIS STATISTICAL INFERENCE STOCK PRICES TECHNIQUES TEST STATISTIC TEST STATISTICS TIME PERIODS TIME-SERIES UNIT ROOTS VALIDITY WEALTH Moral-Benito, Enrique Serven, Luis Testing Weak Exogeneity in Cointegrated Panels |
| description |
For reason of empirical tractability,
analysis of cointegrated economic time series is often
developed in a partial setting, in which a subset of
variables is explicitly modeled conditional on the rest.
This approach yields valid inference only if the
conditioning variables are weakly exogenous for the
parameters of interest. This paper proposes a new test of
weak exogeneity in panel cointegration models. The test has
a limiting Gumbel distribution that is obtained by first
letting the time dimension of the panel go to infinity and
then letting its cross-sectional dimension go to infinity.
The paper evaluates the accuracy of the asymptotic
approximation in finite samples via simulation experiments.
Finally, as an empirical illustration, the paper reports
tests of weak exogeneity of disposable income and wealth in
an aggregate consumption equation. |
| topic_facet |
ALTERNATIVE TEST ASYMPTOTIC DISTRIBUTION BUSINESS CYCLES COINTEGRATION CONSUMPTION FUNCTION COVARIANCE DEGREES OF FREEDOM DEVELOPMENT POLICY DEVELOPMENT RESEARCH DISEQUILIBRIUM DISPOSABLE INCOME DISTRIBUTION FUNCTION DYNAMIC HETEROGENEOUS PANELS DYNAMIC PANEL DYNAMIC PANELS ECONOMETRICS ECONOMETRICS OF PANEL DATA ECONOMIC THEORY ECONOMIC TIME SERIES EMPIRICAL ANALYSIS ENDOGENOUS VARIABLES EQUATIONS ERROR ERROR TERM EXOGENOUS VARIABLES EXPERIMENTS FINITE SAMPLES INCOMPLETE MARKETS JOURNAL OF ECONOMETRICS LAG LENGTH LARGE N LINEAR REGRESSION MACROECONOMICS MATRICES MATRIX MEAN GROUP MEAN GROUP ESTIMATION MODELING 0 HYPOTHESIS NUMBER OF PARAMETERS NUMBER OF VARIABLES PANEL DATA PARAMETER VECTOR PERIOD T PREDICTIONS PURCHASING POWER PURCHASING POWER PARITY PURE TIME SERIES DATA RESEARCH WORKING PAPERS RESEARCHERS SAMPLE SIZE SECTIONAL UNITS SERIAL CORRELATION SET OF VARIABLES SIMULATION SIMULATIONS STATISTICAL ANALYSIS STATISTICAL INFERENCE STOCK PRICES TECHNIQUES TEST STATISTIC TEST STATISTICS TIME PERIODS TIME-SERIES UNIT ROOTS VALIDITY WEALTH |
| author |
Moral-Benito, Enrique Serven, Luis |
| author_facet |
Moral-Benito, Enrique Serven, Luis |
| author_sort |
Moral-Benito, Enrique |
| title |
Testing Weak Exogeneity in Cointegrated Panels |
| title_short |
Testing Weak Exogeneity in Cointegrated Panels |
| title_full |
Testing Weak Exogeneity in Cointegrated Panels |
| title_fullStr |
Testing Weak Exogeneity in Cointegrated Panels |
| title_full_unstemmed |
Testing Weak Exogeneity in Cointegrated Panels |
| title_sort |
testing weak exogeneity in cointegrated panels |
| publisher |
World Bank Group, Washington, DC |
| publishDate |
2014-09 |
| url |
http://documents.worldbank.org/curated/en/2014/09/20230197/testing-weak-exogeneity-cointegrated-panels https://hdl.handle.net/10986/20372 |
| work_keys_str_mv |
AT moralbenitoenrique testingweakexogeneityincointegratedpanels AT servenluis testingweakexogeneityincointegratedpanels |
| _version_ |
1807154762538287104 |