Testing for exogeneity in cointegrated panels
This paper proposes a test for the null that, in a cointegrated panel, the long-run correlation between the regressors and the error term is different from zero. As is well known, in such case the OLS estimator is T-consistent, whereas it is math formula-consistent when there is no endogeneity. Othe...
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| Format: | Article |
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Wiley
2015
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| Online Access: | https://eprints.nottingham.ac.uk/49228/ |