Lagrance-multiplier tersts for weak exogeneity: a synthesis
DOI10.1080/07474939708800370zbMATH Open0896.62130OpenAlexW2153790906MaRDI QIDQ4355142FDOQ4355142
Jean-Pierre Urbain, H. Peter Boswijk
Publication date: 17 September 1997
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474939708800370
cointegrationerror correction modelsmoney demandweak exogeneitydynamic regression modelsLagrange-multiplier testDurbin-Wu-Hausman specification tests
Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15) Economic time series analysis (91B84)
Cites Work
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- On the Relationships Among Several Specification Error Tests Presented by Durbin, Wu, and Hausman
- Alternative Tests of Independence between Stochastic Regressors and Disturbances
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Errors in Variables
- A general approach to Lagrange multiplier model diagnostics
- Cointegration in partial systems and the efficiency of single-equation analysis
- Efficient inference on cointegration parameters in structural error correction models
- Exogeneity
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- On the formulation of empirical models in dynamic econometrics
- On the interactions of unit roots and exogeneity
- Models with Several Regimes and Changes in Exogeneity
- A note on weak exogeneity in VAR cointegrated models
Cited In (5)
- Testing weak exogeneity in multiplicative error models
- Title not available (Why is that?)
- Near exogeneity, weak identification and specification testing: Some asymptotic results
- Investigating the effects of mailing variables and endogeneity on mailing decisions
- Exchange rate pass-through in a small open economy: the importance of the distribution sector
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