Lagrance-multiplier tersts for weak exogeneity: a synthesis

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

zbMATH Keywords

cointegrationmoney demanderror correction modelsweak exogeneitydynamic regression modelsLagrange-multiplier testDurbin-Wu-Hausman specification tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15) Economic time series analysis (91B84)

Related Items (3)

Investigating the effects of mailing variables and endogeneity on mailing decisions ⋮ Testing weak exogeneity in multiplicative error models ⋮ Exchange rate pass-through in a small open economy: the importance of the distribution sector

Cites Work

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• Cointegration in partial systems and the efficiency of single-equation analysis
• A note on weak exogeneity in VAR cointegrated models
• On the formulation of empirical models in dynamic econometrics
• Efficient inference on cointegration parameters in structural error correction models
• Exogeneity
• Models with Several Regimes and Changes in Exogeneity
• On the Relationships Among Several Specification Error Tests Presented by Durbin, Wu, and Hausman
• Alternative Tests of Independence between Stochastic Regressors and Disturbances
• 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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