Testing Exogeneity (Advanced Texts in Econometrics) - Hardcover

Hardcover

ISBN 10: 019877401X ISBN 13: 9780198774013

Publisher: Oxford University Press, 1995

Synopsis

This book discusses the nature of exogeneity, which plays a key role in economic and econometric analysis, both theoretical and applied. In the last fifteen years, exogeneity has undergone important clarifications as a concept, and new, easily implemented tests for exogeneity have been developed. These papers include original sources of the clarifications and tests for exogeneity, numerous empirical applications, and refinements and generalizations of the testing procedures.
Part I provides the conceptual, analytical, and statistical background necessary for implementing and interpreting tests of exogeneity. The articles in Part II apply these principles, with tests of exogeneity for models of wages and prices, money demand, and expenditure. These articles also develop and evaluate the specification of their models. The four articles in Part III develop and extend tests of parameter constancy and predictive accuracy, which are central to Hendry's procedure for testing super exogeneity.
Testing Exogeneity collects together papers from the Journal of Policy Modeling, Econometrica, Oxford Economic Papers, and the Journal of Econometrics, to provide a unique and unified perspective on applied econometric modelling in general, and on exogeneity tests in particular. It will be of value to applied and theoretical econometricians, to graduate students in economics, and in general to economists analysing time series data.

About this title

About the Author

Neil R. Ericsson is at Federal Reserve, Washington, DC. John S. Irons is on the Board of Governors of the Federal Reserve System, Washington, DC.

Review

`The book contains a very readable collection of articles and a great introduction by Neil Ericsson.'
The Economic Journal

Edition details

• Publisher: Oxford University Press
• Publication date: 1995
• Language: English
• ISBN 10: 019877401X
• ISBN 13: 9780198774013
• Binding: Hardcover
• Number of pages: 432
• Editor: Ericsson Neil R., Irons John S.