A simple test of exogeneity for recursively structured VAR models
The restriction of exogeneity of certain variables in structural VAR models is rarely tested for consistency with the actual data. The reason is obvious: such a test requires estimates of the structural parameters. This paper proposes a solution for models that assume long-run or contemporaneous recursive structures in identification. We show that in such cases, the exogeneity restriction can be assessed statistically using the well-known Granger non-causality test which is conveniently performed in the reduced-form VAR model. Two empirical examples are offered to demonstrate the usefulness of this result.
Volume (Year): 37 (2005)
Issue (Month): 20 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAEC20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAEC20|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- David O. Cushman & Tao Zha, 1995.
"Identifying monetary policy in a small open economy under flexible exchange rates,"
FRB Atlanta Working Paper
95-7, Federal Reserve Bank of Atlanta.
- Cushman, David O. & Zha, Tao, 1997. "Identifying monetary policy in a small open economy under flexible exchange rates," Journal of Monetary Economics, Elsevier, vol. 39(3), pages 433-448, August.
- Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-44, January.
- Juan J. DOLADO & Helmut LÜTKEPOHL, 1994.
"Making Wald Tests Work for Cointegrated Var Systems,"
SFB 373 Discussion Papers
1994,44, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Dolado, J.J. & Lutkepohl, H., 1994. "Making Wald Tests Work for Cointegrated Var Systems," Papers 9424, Centro de Estudios Monetarios Y Financieros-.
- Matthew Shapiro & Mark Watson, 1988.
"Sources of Business Cycles Fluctuations,"
in: NBER Macroeconomics Annual 1988, Volume 3, pages 111-156
National Bureau of Economic Research, Inc.
- Matthew D. Shapiro & Mark W. Watson, 1988. "Sources of Business Cycle Fluctuations," NBER Working Papers 2589, National Bureau of Economic Research, Inc.
- Matthew D. Shapiro & Mark W. Watson, 1988. "Sources of Business Cycle Fluctuations," Cowles Foundation Discussion Papers 870, Cowles Foundation for Research in Economics, Yale University.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
- Jiménez-Rodríguez, Rebeca & Sánchez, Marcelo, 2004.
"Oil price shocks and real GDP growth: empirical evidence for some OECD countries,"
Working Paper Series
0362, European Central Bank.
- Rebeca Jimenez-Rodriguez & Marcelo Sanchez, 2005. "Oil price shocks and real GDP growth: empirical evidence for some OECD countries," Applied Economics, Taylor & Francis Journals, vol. 37(2), pages 201-228.
- John Burbidge & Alan Harrison, 1982.
"Testing for the Effects of Oil-Price Rises Using Vector Autoregressions,"
School of Economics Working Papers
1982-01, University of Adelaide, School of Economics.
- Burbidge, John & Harrison, Alan, 1984. "Testing for the Effects of Oil-Price Rises Using Vector Autoregressions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(2), pages 459-84, June.
- Dungey, Mardi & Pagan, Adrian, 2000. "A Structural VAR Model of the Australian Economy," The Economic Record, The Economic Society of Australia, vol. 76(235), pages 321-42, December.
- Hakan Berument & Zubeyir Kilinc, 2004. "The effect of foreign income on economic performance of a small-open economy: evidence from Turkey," Applied Economics Letters, Taylor & Francis Journals, vol. 11(8), pages 483-488.
- Ramon Moreno, 1992. "Macroeconomic shocks and business cycles in Australia," Economic Review, Federal Reserve Bank of San Francisco, pages 34-52.
When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:37:y:2005:i:20:p:2307-2313. See general 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: (Michael McNulty)
If references are entirely missing, you can add them using this form.