Testing Exogeneity

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Neil R. Ericsson, John S. Irons
Oxford University Press, 1994 - Business & Economics - 422 pages
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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 UK, 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.

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An Introduction
U K Money Demand Data
Argentina 19771988
Dynamic Modeling of the Demand for Narrow Money
An Econometric Analysis of TV Advertising Expenditure
Parameter Constancy Mean Square Forecast Errors
Comments on the Evaluation of Policy Models
Confidence Intervals for Linear Combinations of Forecasts
Testing for Parameter Instability in Linear Models

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About the author (1994)

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

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