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 the conditioning variables are weakly exogenous for the parameters of interest. This paper proposes a new test of weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution...
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ПОДРОБНАЯ ИНФОРМАЦИЯ
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2014/09/01
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Рабочий документ в рамках исследования вопросов политики
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WPS7045
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1
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1
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2014/09/01
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Disclosed
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Testing weak exogeneity in cointegrated panels
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parameter of interest
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