Jump to ContentJump to Main Navigation
Volatility and Time Series EconometricsEssays in Honor of Robert Engle$
Users without a subscription are not able to see the full content.

Tim Bollerslev, Jeffrey Russell, and Mark Watson

Print publication date: 2010

Print ISBN-13: 9780199549498

Published to Oxford Scholarship Online: May 2010

DOI: 10.1093/acprof:oso/9780199549498.001.0001

Show Summary Details
Page of

PRINTED FROM OXFORD SCHOLARSHIP ONLINE (www.oxfordscholarship.com). (c) Copyright Oxford University Press, 2019. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 05 December 2019

An Automatic Test of Super Exogeneity *

An Automatic Test of Super Exogeneity *

Chapter:
(p.164) 9 An Automatic Test of Super Exogeneity*
Source:
Volatility and Time Series Econometrics
Author(s):

David F. Hendry (Contributor Webpage)

Carlos Santos

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199549498.003.0009

This chapter proposes a test for ‘super exogeneity’, a concept originally developed by Rob, David, and Jean-Francois Richard. The structure of the chapter is as follows. Section 2 reconsiders which shifts in vector autoregressions (VARs) are relatively detectable, and derives the implications for testing for breaks in conditional representations. Section 3 considers super exogeneity in a regression context in order to elucidate its testable hypotheses, and discusses how super exogeneity can fail. Section 4 describes the impulse-saturation tests in Hendry et al. (2008) and Johansen and Nielsen (2009), and considers how to extend these to test super exogeneity. Section 5 provides analytic and Monte Carlo evidence on the null rejection frequencies of that procedure. Section 6 considers the power of the first stage to determine location shifts in marginal processes. Section 7 analyzes a failure of weak exogeneity under a nonconstant marginal process. Section 8 notes a co-breaking saturation-based test which builds on Krolzig and Toro (2002) and Hendry and Massmann (2007). Section 9 investigates the powers of the proposed automatic test in Monte Carlo experiments for a bivariate data generation process based on Section 7. Section 10 tests super exogeneity in the much-studied example of UK money demand; and Section 11 concludes.

Keywords:   super exogeneity, vector autoregressions, regression, Monte Carlo simulation, money demand

Oxford Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs , and if you can't find the answer there, please contact us .