Causality versus Serial Correlation: an Asymmetric Portmanteau Test
因果性与序列相关:非对称 Portmanteau 检验
This paper studies specification testing in dynamic linear models in the presence of omitted variables. The null hypothesis of interest is weak exogeneity: shocks have zero conditional expectation given their own past and the past of omitted variables. Existing tests based on quadratic forms of serial cross-correlations suffer from size distortions because their variance incorporates symmetric dependence in both directions, including causality from past shocks to present…