Lagrance-multiplier tersts for weak exogeneity: a synthesis
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Publication:4355142
DOI10.1080/07474939708800370zbMath0896.62130OpenAlexW2153790906MaRDI QIDQ4355142
Jean-Pierre Urbain, H. Peter Boswijk
Publication date: 17 September 1997
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474939708800370
cointegrationmoney demanderror correction modelsweak exogeneitydynamic regression modelsLagrange-multiplier testDurbin-Wu-Hausman specification tests
Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15) Economic time series analysis (91B84)
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Cites Work
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- Exogeneity
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- On the Relationships Among Several Specification Error Tests Presented by Durbin, Wu, and Hausman
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- Co-Integration and Error Correction: Representation, Estimation, and Testing
- On the interactions of unit roots and exogeneity
- Errors in Variables
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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