Working Paper
Testing for Contemporaneous Exogeneity in Linear Time-Series Models
Abstract: We propose a test for contemporaneous exogeneity of regressors in linear time-series models. The test takes the form of a specification test with an expanding number of moment conditions. The test does not require external instruments and is based only on information contained in the regressors. Under the null of exogeneity, the test is characterized by a standard normal limit when the moment conditions are expanding at a particular rate relative to the sample size. We establish the consistency of the test under the alternative hypothesis when testing for exogeneity of the full set as well as a subset of regressors. We apply the proposed exogeneity test to measures of labor tightness or economic slack in two versions of the Phillips curve.
JEL Classification: C12; C22; C26; E24; E31;
https://doi.org/10.29338/wp2026-14
Access Documents
Authors
Bibliographic Information
Provider: Federal Reserve Bank of Atlanta
Part of Series: FRB Atlanta Working Paper
Publication Date: 2026-09-23
Number: 2026-14