Testing Parameter Constancy and super Exogeneity in Econometric Equations
AbstractThe paper is concerned with testing super exogeneity in a single equation that can either be linear or partially nonlinear. A joint test for testing both weak exogeneity and a form of invariance, which together amount to super exogeneity, is presented and its properties discussed. The considerations also include testing parameter constancy and modelling parameter nonconstancy prior to testing super exogeneity. The practical application of the tests is demonstrated by an example in which testing super exogeneity in a previously published consumption function for Norway is considered. The results are compared with the previous conclusions and found not to disagree with them.
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Bibliographic InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 53.
Length: 36 pages
Date of creation: May 1995
Date of revision:
Publication status: Published in Oxford Bulletin of Economics and Statistics, 1996, pages 735-763
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Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden
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More information through EDIRC
Changing seasonality; invariance; linearity testing; model specification; parameter stability; weak exogeneity;
Other versions of this item:
- Jansen, Eilev S & Terasvirta, Timo, 1996. "Testing Parameter Constancy and Super Exogeneity in Econometric Equations," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(4), pages 735-63, November.
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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