Testing weak exogeneity in multiplicative error models
针对乘法误差模型（MEMs）提出拉格朗日乘子检验，用于检验交易持续期与金融标记之间的弱外生性，实证发现弱外生性常被拒绝且其失效会严重偏误参数估计。
Empirical market microstructure literature widely employs the non-linear and non-Gaussian multiplicative error class of models (MEMs) in modelling the dynamics of trading duration and financial marks. It routinely maintains the weak exogeneity of duration vis-à-vis marks in estimations. However, microstructure theory states that trade duration, volume and transaction prices are simultaneously determined. We propose Lagrange-multiplier (LM) tests for weak exogeneity for the MEMs. Our LM tests are extensions of the weak exogeneity tests applicable to VAR or VECM models with Gaussian distributions. Empirical assessments show that (i) weak exogeneity is widely rejected by the data in the MEMs and (ii) the failure of weak exogeneity seriously biases parameter estimates. We hope our tests will be of interest in future empirical applications.