AbstractIn spite of the importance of exogeneity in econometric modeling, an unambiguous definition does not seem to have been proposed to date. This lack has not only hindered systematic discussion, it has served to confuse the connections between "casuality" and "exogeneity". Moreover, many existing definitions have been formulated in terms of disturbances from relationships which contain unknown parameters, yet whether or not such disturbances satisfy certain orthogonality conditions with other observables may be a matter of construction or may be a testable hypothesis : a clear distinction between these situations is essential. To achieve such an objective, we formulate definitions in terms of the distributions of the observable variables, distinguishing between exogeneity assumptions and causality assumptions, where causality is used in the sense of Granger (1969). Following in particular Koopman's pioneering article (1950), exogeneity will be related to the statistical completeness of a model. In short, a variable will be considered exogenous for a given purpose if a statistical analysis can be conducted conditionally on that variable without loss or relevant sample information
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Econometric Society in its journal Econometrica.
Volume (Year): 51 (1983)
Issue (Month): 2 (March)
Other versions of this item:
- Engle, Robert F & Hendry, David F & Richard, Jean-Francois, 1979. "Exogeneity," The Warwick Economics Research Paper Series (TWERPS) 162, University of Warwick, Department of Economics.
- ENGLE, Robert F. & HENDRY, David F. & RICHARD, Jean-François, . "Exogeneity," CORE Discussion Papers RP -516, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.