Testing the Exogeneity Specification in the Complete Dynamic Simultaneous Equation Model

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dc.contributor.author Geweke, John en_US
dc.contributor.editor en_US
dc.date.accessioned 2011-02-07T06:26:23Z
dc.date.available 2011-02-07T06:26:23Z
dc.date.issued 1978 en_US
dc.identifier 2008008250 en_US
dc.identifier.citation Geweke John 1978, 'Testing the Exogeneity Specification in the Complete Dynamic Simultaneous Equation Model', Elsevier, vol. 7, no. 2, pp. 163-185. en_US
dc.identifier.issn 0304-4076 en_US
dc.identifier.other C1UNSUBMIT en_US
dc.identifier.uri http://hdl.handle.net/10453/13963
dc.description.abstract Abstract: It is shown that in the complete dynamic simultaneous equation model exogenous variables cause endogenous variables in the sense of Granger (1969) and satisfy the criterion of econometric exogeneity discussed by Sims (1977a), but that the stationarity assumptions invoked by Granger and Sims are not necessary for this implication. Inference procedures for testing each implication are presented and a new joint test of both implications is derived. Detailed attention is given to estimation and testing when the error vector of the final form of the complete dynamic simultaneous equation model is both singular and serially correlated. The theoretical points of the paper are illustrated by testing the exogeneity specification in a small macroeconometric model. en_US
dc.language en_US
dc.publisher Elsevier en_US
dc.title Testing the Exogeneity Specification in the Complete Dynamic Simultaneous Equation Model en_US
dc.parent Journal of Econometrics en_US
dc.journal.volume 7 en_US
dc.journal.number 2 en_US
dc.publocation USA en_US
dc.identifier.startpage 163 en_US
dc.identifier.endpage 185 en_US
dc.cauo.name BUS.Faculty of Business en_US
dc.conference Verified OK en_US
dc.for 140303 en_US
dc.personcode 101228 en_US
dc.percentage 100 en_US
dc.classification.name Economic Models and Forecasting en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords NA en_US
dc.staffid 101228 en_US


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