@article { ,
title = {Testing for exogeneity in cointegrated panels},
abstract = {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. Other estimators can be employed, such as the FM-OLS, that are math formula-consistent irrespective of whether exogeneity is present or not. Using the difference between the former and the latter estimator, we construct a test statistic which diverges at a rate math formula under the null of endogeneity, whilst it is bounded under the alternative of exogeneity, and employ a randomization approach to carry out the test. Monte Carlo evidence shows that the test has the correct size and good power.},
doi = {10.1111/obes.12072},
eissn = {1468-0084},
issn = {0305-9049},
issue = {4},
journal = {Oxford Bulletin of Economics and Statistics},
publicationstatus = {Published},
publisher = {Wiley},
url = {https://nottingham-repository.worktribe.com/output/982934},
volume = {77},
year = {2015},
author = {Trapani, Lorenzo}
}