Exogeneity test for GARCH models
Posted: Mon Nov 04, 2013 5:48 am
Hi there
I would like to test for exogeneity in a GARCH-M model.
For example, the model is
y_(t) = b0 + b1*y_(t-1) + b2*z_(t) + e_(t)
sigma^2_(t) = w0 + w1*e_(t-1)
where e_(t) is the error term, z_(t) the endogenous variable and sigma^2_(t) is the conditional variance. How can I test if z_(t) is exogenous?
Any references or ideas on how to do that?
Thanks a lot!
I would like to test for exogeneity in a GARCH-M model.
For example, the model is
y_(t) = b0 + b1*y_(t-1) + b2*z_(t) + e_(t)
sigma^2_(t) = w0 + w1*e_(t-1)
where e_(t) is the error term, z_(t) the endogenous variable and sigma^2_(t) is the conditional variance. How can I test if z_(t) is exogenous?
Any references or ideas on how to do that?
Thanks a lot!