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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...

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Bibliographic Details
Main Authors: Moral-Benito, Enrique, Serven, Luis
Language:English
en_US
Published: World Bank Group, Washington, DC 2014
Subjects:
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
Online Access:http://documents.worldbank.org/curated/en/2014/09/20230197/testing-weak-exogeneity-cointegrated-panels
http://hdl.handle.net/10986/20372

Internet

http://documents.worldbank.org/curated/en/2014/09/20230197/testing-weak-exogeneity-cointegrated-panels
http://hdl.handle.net/10986/20372

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