On the power of tests for superexogeneity and structural invariance

DOI10.1016/0304-4076(94)01718-2MaRDI QIDQ1915468zbMATH OpenOpenAlexFDO

Authors Zacharias Psaradakis, Martin Sola

Publication date 16 June 1996

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(94)01718-2

zbMATH Keywords

contemporaneous conditioning variablesdirect parametric tests of superexogeneityfinite-sample powerindirect proceduresLucas critiqueMonte Carlo analysisshort-term interest ratetablestemporal stability teststests of structural invariance

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

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• A Test for Normality of Observations and Regression Residuals
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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Hajek Inequalities, Measures of Leverage and the Size of Heteroskedasticity Robust Wald Tests
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• Testing the term structure of interest rates using a stationary vector autoregression with regime switching
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• Tests of Equality Between Sets of Coefficients in Two Linear Regressions

Cited in

(2)

• A note on super exogeneity in linear regression models
• Revealing unnoticed properties of super exogeneity in a cointegrated vector autoregression

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