Testing Weak Exogeneity in Cointegrated Panels
For reasons of empirical tractability, analysis of cointegrated economic time series is often developed in a partial setting, in which a subset of variables is explicitly modelled conditional on the rest. This approach yields valid inference only if the conditioning variables are weakly exogenous fo...
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| Language: | en_US |
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Taylor and Francis
2015
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| Online Access: | http://hdl.handle.net/10986/21608 |