ON THE POWER OF TESTS FOR SUPEREXOGENEITY AND STRUCTURAL INVARIANCE

Citation
Z. Psaradakis et M. Sola, ON THE POWER OF TESTS FOR SUPEREXOGENEITY AND STRUCTURAL INVARIANCE, Journal of econometrics, 72(1-2), 1996, pp. 151-175
Citations number
40
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences
Journal title
ISSN journal
03044076
Volume
72
Issue
1-2
Year of publication
1996
Pages
151 - 175
Database
ISI
SICI code
0304-4076(1996)72:1-2<151:OTPOTF>2.0.ZU;2-Z
Abstract
This paper examines the finite-sample power of tests of structural inv ariance and superexogeneity hypotheses in econometric models with cont emporaneous conditioning variables. We consider both direct parametric tests of superexogeneity, as well as indirect procedures based on tem poral stability tests for the parameters of interest. Our Monte Carlo analysis reveals that both types of tests may lack power in interestin g classes of models. An empirical illustration investigates the supere xogeneity of the short-term interest rate in a dynamic specification f or the U.S. term structure.