(Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models

DOI10.1016/j.econlet.2020.109335zbMath1452.62315OpenAlexW3029072477MaRDI QIDQ2208685

Yanyan Li

Publication date: 3 November 2020

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2020.109335

zbMATH Keywords

kernel functionextreme value theorystrict exogeneitylong autoregressionsmany regressors/instruments

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)

Related Items (1)

Stationarity and ergodic properties for some observation-driven models in random environments

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