Psaradakis, Zacharias and Sola, M. (1996) On the power of tests for superexogeneity and structural invariance. Journal of Econometrics 72 (1-2), pp. 151-175. ISSN 0304-4076.
Abstract
This paper examines the finite-sample power of tests of structural invariance and superexogeneity hypotheses in econometric models with contemporaneous conditioning variables. We consider both direct parametric tests of superexogeneity, as well as indirect procedures based on temporal stability tests for the parameters of interest. Our Monte Carlo analysis reveals that both types of tests may lack power in interesting classes of models. An empirical illustration investigates the superexogeneity of the short-term interest rate in a dynamic specification for the U.S. term structure.
Metadata
| Item Type: | Article |
|---|---|
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Sarah Hall |
| Date Deposited: | 27 Jul 2020 15:42 |
| Last Modified: | 02 Aug 2023 18:01 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/32688 |
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