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    On the power of tests for superexogeneity and structural invariance

    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.

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    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: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Sarah Hall
    Date Deposited: 27 Jul 2020 15:42
    Last Modified: 27 Jul 2020 15:42
    URI: https://eprints.bbk.ac.uk/id/eprint/32688

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