Finite-Sample Properties of Model Specification Tests for Multivariate Dynamic Regression Models
多元动态回归模型设定检验的有限样本性质
We propose a new model specification test for multiple-equation systems with cross-equation error and dynamic regressor--error dependences. Conventional tests often rely on exogeneity conditions strong enough to ensure consistency of the OLS estimator. These exogeneity conditions are violated when regressors and errors are dynamically dependent, rendering conventional model specification tests invalid. To address these limitations, we clarify the relationship among…