testing strong exogeneity

A forum for questions and answers regarding the CATS cointegration procedure

testing strong exogeneity

Unread postby atarca » Sat Sep 11, 2021 2:49 pm

Dear Tom,
Is there a way for imposing and testing a joint restriction on gamma and alpha coefficients in CATS?
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Re: testing strong exogeneity

Unread postby TomDoan » Wed Sep 15, 2021 6:45 pm

Sorry, no.
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