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Volatility and Time Series EconometricsEssays in Honor of Robert Engle$
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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

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An Automatic Test of Super Exogeneity *

An Automatic Test of Super Exogeneity *

(p.164) 9 An Automatic Test of Super Exogeneity*
Volatility and Time Series Econometrics

David F. Hendry (Contributor Webpage)

Carlos Santos

Oxford University Press

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

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