Testing Exogeneity in Overidentified Models
Author | : Nunzio Cappuccio |
Publisher | : |
Total Pages | : 23 |
Release | : 1987 |
Genre | : |
ISBN | : |
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Author | : Nunzio Cappuccio |
Publisher | : |
Total Pages | : 23 |
Release | : 1987 |
Genre | : |
ISBN | : |
Author | : Stanford University. Econometric Workshop |
Publisher | : |
Total Pages | : 36 |
Release | : 1990 |
Genre | : |
ISBN | : |
Author | : A. Colin Cameron |
Publisher | : Cambridge University Press |
Total Pages | : 1064 |
Release | : 2005-05-09 |
Genre | : Business & Economics |
ISBN | : 9780521848053 |
The book is oriented to the practitioner.
Author | : Neil R. Ericsson |
Publisher | : |
Total Pages | : 436 |
Release | : 1994 |
Genre | : Business & Economics |
ISBN | : 9780198774044 |
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 | : Xavier De Luna |
Publisher | : |
Total Pages | : 46 |
Release | : 2001 |
Genre | : Absenteeism (Labor) |
ISBN | : |
Author | : Caroline Minter Hoxby |
Publisher | : |
Total Pages | : 40 |
Release | : 1998 |
Genre | : Correlation (Statistics) |
ISBN | : |
This paper examines the validity of overidentification tests and exogeneity tests in the presence of grouped data. We find that even a small intra-group correlation, when instruments do not vary within groups, may generate a substantial bias in the standard overidentification tests described in textbooks.
Author | : Jean-Pierre Urbain |
Publisher | : Springer Science & Business Media |
Total Pages | : 201 |
Release | : 2012-12-06 |
Genre | : Business & Economics |
ISBN | : 3642957064 |
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 | : Jan Kmenta |
Publisher | : Academic Press |
Total Pages | : 425 |
Release | : 2014-05-10 |
Genre | : Business & Economics |
ISBN | : 1483267342 |
Evaluation of Econometric Models presents approaches to assessing and enhancing the progress of applied economic research. This book discusses the problems and issues in evaluating econometric models, use of exploratory methods in economic analysis, and model construction and evaluation when theoretical knowledge is scarce. The data analysis by partial least squares, prediction analysis of economic models, and aggregation and disaggregation of nonlinear equations are also elaborated. This text likewise covers the comparison of econometric models by optimal control techniques, role of time series analysis in econometric model evaluation, and hypothesis testing in spectral regression. Other topics include the relevance of laboratory experiments to testing resource allocation theory and token economy and animal models for the experimental analysis of economic behavior. This publication is intended for students and researchers interested in evaluating econometric models.
Author | : |
Publisher | : |
Total Pages | : |
Release | : 2004 |
Genre | : |
ISBN | : |
Author | : Nunzio Cappuccio |
Publisher | : |
Total Pages | : 23 |
Release | : 1990 |
Genre | : |
ISBN | : |