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A test of the exogeneity of national variables in a regional econometric model

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  • Paul A. Anderson
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    Abstract

    Many regional econometric models are estimated under the maintained assumption that certain national variables are exogenous with respect to the regional variables in the models. This exogeneity assumption is testable using time series methods of inference, yet, to my knowledge, no regional model has been so tested. In this paper, I test the national exogeneity assumption included in the specification of a particular regional forecasting model. Such a test is, I believe, a necessary and important step in the construction of any econometric model.

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    File URL: http://www.minneapolisfed.org/research/WP/WP124.pdf
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    Bibliographic Info

    Paper provided by Federal Reserve Bank of Minneapolis in its series Working Papers with number 124.

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    Date of creation: 1979
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    Handle: RePEc:fip:fedmwp:124

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    1. Adams, F Gerard & Brooking, Carl G & Glickman, Norman J, 1975. "On the Specification and Simulation of a Regional Econometric Model: A Model of Mississippi," The Review of Economics and Statistics, MIT Press, vol. 57(3), pages 286-98, August.
    2. Klein, Lawrence R. & Glickman, Norman J., 1977. "Econometric model-building at regional level," Regional Science and Urban Economics, Elsevier, vol. 7(1-2), pages 3-23, March.
    3. Geweke, John, 1978. "Testing the exogeneity specification in the complete dynamic simultaneous equation model," Journal of Econometrics, Elsevier, vol. 7(2), pages 163-185, June.
    4. Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-52, September.
    5. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
    6. L'Esperance, Wilford L., 1977. "Optimal stabilization policy at the regional level," Regional Science and Urban Economics, Elsevier, vol. 7(1-2), pages 25-48, March.
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