Testing Exogeneity PDF Download
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Author | : Neil R. Ericsson |
Publisher | : |
Total Pages | : 436 |
Release | : 1994 |
Genre | : Business & Economics |
ISBN | : 9780198774044 |
Download Testing Exogeneity Book in PDF, ePub and Kindle
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.
Author | : Alberto Holly |
Publisher | : |
Total Pages | : 29 |
Release | : 1985 |
Genre | : |
ISBN | : |
Download Testing for Exogeneity Book in PDF, ePub and Kindle
Author | : Xavier De Luna |
Publisher | : |
Total Pages | : 46 |
Release | : 2001 |
Genre | : Absenteeism (Labor) |
ISBN | : |
Download Testing Exogeneity Under Distributional Misspecification Book in PDF, ePub and Kindle
Author | : Xavier de Luna |
Publisher | : |
Total Pages | : |
Release | : 2000 |
Genre | : |
ISBN | : |
Download Testing Exogeneity in Cross-section Regression by Sorting Data Book in PDF, ePub and Kindle
Author | : Jean-Pierre Urbain |
Publisher | : Springer Science & Business Media |
Total Pages | : 201 |
Release | : 2012-12-06 |
Genre | : Business & Economics |
ISBN | : 3642957064 |
Download Exogeneity in Error Correction Models Book in PDF, ePub and Kindle
In the recent years, the study of cointegrated time series and the use of error correction models have become extremely popular in the econometric literature. This book provides an analysis of the notion of (weak) exogeneity, which is necessary to sustain valid inference in sub-systems, inthe framework of error correction models (ECMs). In many practical situations, the applied econometrician wants to introduce "structure" on his/her model in order to get economically meaningful coefficients. For thispurpose, ECMs in structural form provide an appealing framework, allowing the researcher to introduce (theoretically motivated) identification restrictions on the long run relationships. In this case, the validity of the inference will depend on a number of conditions which are investigated here. In particular,we point out that orthogonality tests, often used to test for weak exogeneity or for general misspecification, behave poorly in finite samples and are often not very useful in cointegrated systems.
Author | : Katarzyna Bech |
Publisher | : |
Total Pages | : 38 |
Release | : 2015 |
Genre | : |
ISBN | : |
Download Nonparametric Testing for Exogeneity with Discrete Regressors and Instruments Book in PDF, ePub and Kindle
This paper presents new approaches to testing for exogeneity in non-parametric models with discrete regressors and instruments. Our interest is in learning about an unknown structural (conditional mean) function. An interesting feature of these models is that under endogeneity the identifying power of a discrete instrument depends on the number of support points of the instruments relative to that of the regressors, a result driven by the discreteness of the variables. Observing that the simple nonparametric additive error model can be interpreted as a linear regression, we present two test-statistics. For the point identifying model, the test is an adapted version of the standard Wu-Hausman approach. This extends the work of Blundell and Horowitz (2007) to the case of discrete regressors and instruments. For the set identifying model, the Wu-Hausman approach is not available. In this case the test-statistic is derived from a constrained minimization problem. The asymptotic distributions of the test-statistics are derived under the null and fixed and local alternatives. The tests are shown to be consistent, and a simulation study reveals that the proposed tests have satisfactory finite-sample properties.
Author | : Nunzio Cappuccio |
Publisher | : |
Total Pages | : 23 |
Release | : 1990 |
Genre | : |
ISBN | : |
Download Testing Exogeneity in Overindentified Models Book in PDF, ePub and Kindle
Author | : Lorenzo Trapani |
Publisher | : |
Total Pages | : 0 |
Release | : 2015 |
Genre | : |
ISBN | : |
Download Testing for Exogeneity in Cointegrated Panels Book in PDF, ePub and Kindle
This paper proposes a test for the null that, in a cointegrated panel, the long-run correlation between the regressors and the error term is different from zero. As is well known, in such case the OLS estimator is T-consistent, whereas it is -consistent when there is no endogeneity. Other estimators can be employed, such as the FM-OLS, that are -consistent irrespective of whether exogeneity is present or not. Using the difference between the former and the latter estimator, we construct a test statistic which diverges at a rate under the null of endogeneity, whilst it is bounded under the alternative of exogeneity, and employ a randomization approach to carry out the test. Monte Carlo evidence shows that the test has the correct size and good power.
Author | : |
Publisher | : |
Total Pages | : |
Release | : 2004 |
Genre | : |
ISBN | : |
Download Testing for Exogeneity in Nonlinear Threshold Models Book in PDF, ePub and Kindle
Author | : Alberto Holly |
Publisher | : |
Total Pages | : 62 |
Release | : 1982 |
Genre | : |
ISBN | : |
Download Testing for Exogeneity Within a Limited Information Framework Book in PDF, ePub and Kindle