Testing Exogeneity (Advanced Texts in Econometrics) - Hardcover

Ericsson, Neil R.

Hardcover

ISBN 10: 019877401X ISBN 13: 9780198774013

Publisher: Oxford University Press, 1995

Synopsis

This volume discusses the nature of exogeneity - a central concept in econometrics - and shows how to test for it through numerous substantive empirical examples. Part 1 considers what exogeneity is and how it can be tested. Part 2 contains applications to models of expenditure, money demand, inflation, wages and prices, and exchange rates across both developed and developing countries. Part 3 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 unified perspective on applied econometric modelling in general and on exogeneity tests in particular. The applications are diverse, with a broad appeal to the applied economist. Econometricians and graduate studies of econometrics; applied economists wishing to implement recent tests of exogeneity.

About this title

Review

The book contains a very readable collection of articles and a great introduction by Neil Ericsson. (The Economic Journal)

About the Author

Neil R. Ericsson is at Federal Reserve, Washington, D.C. . John S. Irons is on the Board of Governors of the Federal Reserve System, Washington, D.C. .

Edition details

• Publisher: Oxford University Press
• Publication date: 1995
• Language: English
• ISBN 10: 019877401X
• ISBN 13: 9780198774013
• Binding: Hardcover
• Number of pages: 431