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Testing Exogeneity

Editor

Listed:
  • Ericsson, Neil R.
    (Federal Reserve, Washington, DC)

  • Irons, John S.
    (Board of the Governors of the Federal Reserve System, Washington, DC)

Abstract

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.

Suggested Citation

  • Ericsson, Neil R. & Irons, John S. (ed.), 1995. "Testing Exogeneity," OUP Catalogue, Oxford University Press, number 9780198774044.
    • Handle: RePEc:oxp:obooks:9780198774044
    Note: 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
    as

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