Neil R. Ericsson, John S. Irons
Oxford University Press, 1994 - Business & Economics - 422 pages
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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asymptotic autoregressive Bulletin of Economics changes Chow statistics coefficients cointegrating exogeneity cointegrating vectors concept conditional model covariance matrix critical values D. F. Hendry defined Demand for Money denotes distribution dummies dynamic Econometric Modelling Econometrica Economics and Statistics encompassing Engle equation Ericsson error correction model evaluation example exchange rate F statistics FIGURE forecast errors function given implies inference inflation rate interest rate interest rate parity invariance Johansen and Juselius Journal of Econometrics lags least squares long-run Lucas critique marginal models marginal processes Mizon nonconstancy normal null hypothesis originally cited Oxford Bulletin parameter constancy parameters of interest Policy Modeling prediction quarterly real-wage Recursive estimates reduced form regression regressors residual restrictions Richard sample period Sargan Section specification standard errors stationary strong exogeneity structural super exogeneity Table test statistic unconditional forecasts unemployment unit roots United Kingdom variance variation free vector autoregressive weak exogeneity weakly zero