@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} }