Lagrance-multiplier tersts for weak exogeneity: a synthesis

DOI10.1080/07474939708800370MaRDI QIDQ4355142zbMATH OpenOpenAlexFDO

Authors H. Peter Boswijk, Jean-Pierre Urbain

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

zbMATH Keywords

cointegrationerror correction modelsmoney demandweak exogeneitydynamic regression modelsLagrange-multiplier testDurbin-Wu-Hausman specification tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 192992 (Why is no real title available?)
• A general approach to Lagrange multiplier model diagnostics
• A note on weak exogeneity in VAR cointegrated models
• Alternative Tests of Independence between Stochastic Regressors and Disturbances
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Cointegration in partial systems and the efficiency of single-equation analysis
• Efficient inference on cointegration parameters in structural error correction models
• Errors in Variables
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Exogeneity
• Models with Several Regimes and Changes in Exogeneity
• On the Relationships Among Several Specification Error Tests Presented by Durbin, Wu, and Hausman
• On the formulation of empirical models in dynamic econometrics
• On the interactions of unit roots and exogeneity

Cited in

(5)

• scientific article; zbMATH DE number 3930202 (Why is no real title available?)
• Near exogeneity, weak identification and specification testing: Some asymptotic results
• Testing weak exogeneity in multiplicative error models
• Exchange rate pass-through in a small open economy: the importance of the distribution sector
• Investigating the effects of mailing variables and endogeneity on mailing decisions

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