Testing for exogeneity in cointegrated panels

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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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Bibliographic Details
Main Author:	Trapani, Lorenzo
Format:	Article
Published:	Wiley 2015
Online Access:	https://eprints.nottingham.ac.uk/49228/

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