(Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models
Year of publication: |
2020
|
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Authors: | Mayer, Alexander |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 193.2020, p. 1-5
|
Subject: | Extreme value theory | Kernel function | Long autoregressions | Many regressors/instruments | Strict exogeneity | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
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