
Testing Exogeneity
Published on 16. February 1995
Book
Paperback/Softback
432 pages
978-0-19-877404-4 (ISBN)
Description
This book discusses the nature of exogeneity - a central concept in econometrics - and shows how to test for it through numerous substantive empirical examples.
Part I considers what exogeneity is and how it can be tested. Part II contains applications to models of expenditure, money demand, inflation, wages and prices, and exchange rates across both developed and developing countries. Part III extends various tests of constancy and forecast accuracy, which are central to testing super exogeneity.
The papers forming the core of this book (from two special issues of the Journal of Policy Modeling) provide a unique and unified perspective on applied econometric modelling in general and on exogeneity tests in particular. The applications are substantive and diverse, with a broad appeal to the applied economist.
Contributors: H. Ahumada, G. Bardsen, J. Campos, M. Deutsch, R. F. Engle, Neil R. Ericsson, C. W. J. Granger, B. E. Hansen, David F. Hendry, J. Hunter, S. Johansen, K. Juselius, R. Numoen, Jean-Francois Richard
Part I considers what exogeneity is and how it can be tested. Part II contains applications to models of expenditure, money demand, inflation, wages and prices, and exchange rates across both developed and developing countries. Part III extends various tests of constancy and forecast accuracy, which are central to testing super exogeneity.
The papers forming the core of this book (from two special issues of the Journal of Policy Modeling) provide a unique and unified perspective on applied econometric modelling in general and on exogeneity tests in particular. The applications are substantive and diverse, with a broad appeal to the applied economist.
Contributors: H. Ahumada, G. Bardsen, J. Campos, M. Deutsch, R. F. Engle, Neil R. Ericsson, C. W. J. Granger, B. E. Hansen, David F. Hendry, J. Hunter, S. Johansen, K. Juselius, R. Numoen, Jean-Francois Richard
Reviews / Votes
The book contains a very readable collection of articles and a great introduction by Neil Ericsson. * The Economic Journal *More details
Series
Language
English
Place of publication
Oxford
United Kingdom
Target group
Professional and scholarly
Illustrations
line figures, tables
Dimensions
Height: 235 mm
Width: 157 mm
Thickness: 25 mm
Weight
681 gr
ISBN-13
978-0-19-877404-4 (9780198774044)
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Schweitzer Classification