Testing Exogeneity (Advanced Texts in Econometrics) - Softcover

Softcover

ISBN 10: 0198774044 ISBN 13: 9780198774044

Publisher: Oxford University Press, U.S.A., 1995

Synopsis

This book discusses the nature of exogeneity, a central concept in standard econometrics texts, and shows how to test for it through numerous substantive empirical examples from around the world, including the U.K., Argentina, Denmark, Finland, and Norway. Part I defines terms and provides the necessary background; Part II contains applications to models of expenditure, money demand, inflation, wages and prices, and exchange rates; and Part III extends various tests of constancy and forecast accuracy, which are central to testing super exogeneity. About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.

About this title

Review

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

Synopsis

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. 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

Edition details

• Publisher: Oxford University Press, U.S.A.
• Publication date: 1995
• Language: English
• ISBN 10: 0198774044
• ISBN 13: 9780198774044
• Binding: Paperback
• Number of pages: 432
• Editor: Ericsson Neil R.