A portmanteau and a maximum statistic are proposed to discern strictly exogenous from predetermined regressors. Both test statistics rely on residual cross-correlations, pre-whitened via autoregressive sieves. Limiting normality of the portmanteau statistic and Gumbel-convergence of the maximum statistic are derived. (C) 2020 Elsevier B.V. All rights reserved.

(Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models

Mayer, A
2020

Abstract

A portmanteau and a maximum statistic are proposed to discern strictly exogenous from predetermined regressors. Both test statistics rely on residual cross-correlations, pre-whitened via autoregressive sieves. Limiting normality of the portmanteau statistic and Gumbel-convergence of the maximum statistic are derived. (C) 2020 Elsevier B.V. All rights reserved.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/5007322
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