Testing for Exogeneity in Cointegrated Panels
提出一种检验协整面板中回归变量与误差项长期相关是否为零的方法，利用OLS与FM-OLS估计量差异构造统计量，蒙特卡洛模拟显示检验具有良好性质。
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 ‐consistent when there is no endogeneity. Other estimators can be employed, such as the FM‐OLS, that are ‐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 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.