Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/65370
Authors: 
Brüggemann, Ralf
Year of Publication: 
2002
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2002,2
Abstract: 
We investigate the small sample properties of two types of weak exogeneity tests in cointegrated VAR models that are frequently used in applied work. The first one is the standard Likelihood Ratio (LR) test in the Johansen framework. The second test is based on mapping the cointegrated VAR model into VECM representation and then reducing the model using some model selection procedure before testing the significance of the alpha parameters. Results from Monte Carlo experiments indicate severe size distortions in both test types in small samples. We suggest a bootstrap version of the LR test, which can be used for size correction.
Subjects: 
Cointegration
weak exogeneity
bootstrap test
Subset VECM
JEL: 
C32
C51
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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