Testing Exogeneity

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Testing Exogeneity

Author : Neil R. Ericsson
Publisher :
ISBN 13 : 9780198774044
Total Pages : 436 pages
Book Rating : 4.7/5 (74 download)

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Book Synopsis Testing Exogeneity by : Neil R. Ericsson

Download or read book Testing Exogeneity written by Neil R. Ericsson and published by . This book was released on 1994 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Testing for Exogeneity

Author : Alberto Holly
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (715 download)

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Book Synopsis Testing for Exogeneity by : Alberto Holly

Download or read book Testing for Exogeneity written by Alberto Holly and published by . This book was released on 1985 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Exogeneity in Error Correction Models

Author : Jean-Pierre Urbain
Publisher : Springer Science & Business Media
ISBN 13 : 3642957064
Total Pages : 201 pages
Book Rating : 4.6/5 (429 download)

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Book Synopsis Exogeneity in Error Correction Models by : Jean-Pierre Urbain

Download or read book Exogeneity in Error Correction Models written by Jean-Pierre Urbain and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 201 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Testing Exogeneity in Cross-section Regression by Sorting Data

Author : Xavier de Luna
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (778 download)

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Book Synopsis Testing Exogeneity in Cross-section Regression by Sorting Data by : Xavier de Luna

Download or read book Testing Exogeneity in Cross-section Regression by Sorting Data written by Xavier de Luna and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Testing Exogeneity Under Distributional Misspecification

Author : Xavier De Luna
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.E/5 ( download)

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Book Synopsis Testing Exogeneity Under Distributional Misspecification by : Xavier De Luna

Download or read book Testing Exogeneity Under Distributional Misspecification written by Xavier De Luna and published by . This book was released on 2001 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Econometric Analysis of Cross Section and Panel Data, second edition

Author : Jeffrey M. Wooldridge
Publisher : MIT Press
ISBN 13 : 0262232588
Total Pages : 1095 pages
Book Rating : 4.2/5 (622 download)

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Book Synopsis Econometric Analysis of Cross Section and Panel Data, second edition by : Jeffrey M. Wooldridge

Download or read book Econometric Analysis of Cross Section and Panel Data, second edition written by Jeffrey M. Wooldridge and published by MIT Press. This book was released on 2010-10-01 with total page 1095 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second edition of a comprehensive state-of-the-art graduate level text on microeconometric methods, substantially revised and updated. The second edition of this acclaimed graduate text provides a unified treatment of two methods used in contemporary econometric research, cross section and data panel methods. By focusing on assumptions that can be given behavioral content, the book maintains an appropriate level of rigor while emphasizing intuitive thinking. The analysis covers both linear and nonlinear models, including models with dynamics and/or individual heterogeneity. In addition to general estimation frameworks (particular methods of moments and maximum likelihood), specific linear and nonlinear methods are covered in detail, including probit and logit models and their multivariate, Tobit models, models for count data, censored and missing data schemes, causal (or treatment) effects, and duration analysis. Econometric Analysis of Cross Section and Panel Data was the first graduate econometrics text to focus on microeconomic data structures, allowing assumptions to be separated into population and sampling assumptions. This second edition has been substantially updated and revised. Improvements include a broader class of models for missing data problems; more detailed treatment of cluster problems, an important topic for empirical researchers; expanded discussion of "generalized instrumental variables" (GIV) estimation; new coverage (based on the author's own recent research) of inverse probability weighting; a more complete framework for estimating treatment effects with panel data, and a firmly established link between econometric approaches to nonlinear panel data and the "generalized estimating equation" literature popular in statistics and other fields. New attention is given to explaining when particular econometric methods can be applied; the goal is not only to tell readers what does work, but why certain "obvious" procedures do not. The numerous included exercises, both theoretical and computer-based, allow the reader to extend methods covered in the text and discover new insights.

Nonparametric Testing for Exogeneity with Discrete Regressors and Instruments

Author : Katarzyna Bech
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (931 download)

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Book Synopsis Nonparametric Testing for Exogeneity with Discrete Regressors and Instruments by : Katarzyna Bech

Download or read book Nonparametric Testing for Exogeneity with Discrete Regressors and Instruments written by Katarzyna Bech and published by . This book was released on 2015 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Panel Data Econometrics

Author : Mike Tsionas
Publisher : Academic Press
ISBN 13 : 0128144319
Total Pages : 434 pages
Book Rating : 4.1/5 (281 download)

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Book Synopsis Panel Data Econometrics by : Mike Tsionas

Download or read book Panel Data Econometrics written by Mike Tsionas and published by Academic Press. This book was released on 2019-06-19 with total page 434 pages. Available in PDF, EPUB and Kindle. Book excerpt: Panel Data Econometrics: Theory introduces econometric modelling. Written by experts from diverse disciplines, the volume uses longitudinal datasets to illuminate applications for a variety of fields, such as banking, financial markets, tourism and transportation, auctions, and experimental economics. Contributors emphasize techniques and applications, and they accompany their explanations with case studies, empirical exercises and supplementary code in R. They also address panel data analysis in the context of productivity and efficiency analysis, where some of the most interesting applications and advancements have recently been made. - Provides a vast array of empirical applications useful to practitioners from different application environments - Accompanied by extensive case studies and empirical exercises - Includes empirical chapters accompanied by supplementary code in R, helping researchers replicate findings - Represents an accessible resource for diverse industries, including health, transportation, tourism, economic growth, and banking, where researchers are not always econometrics experts

Development Strategies of Open Economies

Author : Frank S. T. Hsiao
Publisher : World Scientific Publishing Company
ISBN 13 : 9789811205408
Total Pages : 0 pages
Book Rating : 4.2/5 (54 download)

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Book Synopsis Development Strategies of Open Economies by : Frank S. T. Hsiao

Download or read book Development Strategies of Open Economies written by Frank S. T. Hsiao and published by World Scientific Publishing Company. This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Causality and exogeneity between exports and economic growth : the case of Asian NICs -- The chaotic attractor of foreign direct investment : why China? : a panel data analysis -- FDI, exports, and GDP in East and Southeast Asia : panel data versus time-series causality analyses -- FDI, exports, economic growth nexus in first and second generation ANIEs / co-authored with Yongkul Won -- The IT revolution and macroeconomic volatility in newly developed countries : on the real and financial linkages -- The impacts of the U.S. economy on the Asia-Pacific region : does it matter? / co-authored with Akio Yamashita -- Gains from policy coordination between Taiwan and the USA : on the games governments play -- International policy coordination with a dominant player : the case of the United States, Japan, Taiwan, and Korea.

Testing Exogeneity in Overindentified Models

Author : Nunzio Cappuccio
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (933 download)

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Book Synopsis Testing Exogeneity in Overindentified Models by : Nunzio Cappuccio

Download or read book Testing Exogeneity in Overindentified Models written by Nunzio Cappuccio and published by . This book was released on 1990 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Testing for Exogeneity in Cointegrated Panels

Author : Lorenzo Trapani
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Testing for Exogeneity in Cointegrated Panels by : Lorenzo Trapani

Download or read book Testing for Exogeneity in Cointegrated Panels written by Lorenzo Trapani and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Testing for Exogeneity in Nonlinear Threshold Models

Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (834 download)

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Book Synopsis Testing for Exogeneity in Nonlinear Threshold Models by :

Download or read book Testing for Exogeneity in Nonlinear Threshold Models written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Testing for Exogeneity Within a Limited Information Framework

Author : Alberto Holly
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.:/5 (482 download)

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Book Synopsis Testing for Exogeneity Within a Limited Information Framework by : Alberto Holly

Download or read book Testing for Exogeneity Within a Limited Information Framework written by Alberto Holly and published by . This book was released on 1982 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Exogeneity Testing of Selection Mechanisms

Author : Kurt Brännäs
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (186 download)

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Book Synopsis Exogeneity Testing of Selection Mechanisms by : Kurt Brännäs

Download or read book Exogeneity Testing of Selection Mechanisms written by Kurt Brännäs and published by . This book was released on 1992 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Perspectives on Econometrics and Applied Economics

Author : Mark Taylor
Publisher : Routledge
ISBN 13 : 1317978501
Total Pages : 129 pages
Book Rating : 4.3/5 (179 download)

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Book Synopsis Perspectives on Econometrics and Applied Economics by : Mark Taylor

Download or read book Perspectives on Econometrics and Applied Economics written by Mark Taylor and published by Routledge. This book was released on 2014-06-11 with total page 129 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is dedicated to the memory and the achievements of Professor Sir Clive Granger, economics Nobel laureate and one of the great econometricians and applied economists of the twentieth and early twenty-first centuries. It comprises contributions from leading econometricians and applied economists who knew Sir Clive and interacted with him over the years, and who wished to pay tribute to him as both a great economist and econometrician, and as a great man. This book was originally published as a special issue of Applied Financial Economics.

The Econometrics of Macroeconomic Modelling

Author : Gunnar Bårdsen
Publisher : OUP Oxford
ISBN 13 : 0191529877
Total Pages : 362 pages
Book Rating : 4.1/5 (915 download)

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Book Synopsis The Econometrics of Macroeconomic Modelling by : Gunnar Bårdsen

Download or read book The Econometrics of Macroeconomic Modelling written by Gunnar Bårdsen and published by OUP Oxford. This book was released on 2005-04-14 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: Macroeconometric models, in many ways the flagships of the economist's profession in the 1960s, came under increasing attack from both theoretical economist and practitioners in the late 1970s. Critics referred to their lack of microeconomic theoretical foundations, ad hoc models of expectations, lack of identification, neglect of dynamics and non-stationarity, and poor forecasting properties. By the start of the 1990s, the status of macroeconometric models had declined markedly, and had fallen completely out of, and with, academic economics. Nevertheless, unlike the dinosaurs to which they often have been likened, macroeconometric models have never completely disappeared from the scene. This book describes how and why the discipline of macroeconometric modelling continues to play a role for economic policymaking by adapting to changing demands, in response, for instance, to new policy regimes like inflation targeting. Model builders have adopted new insights from economic theory and taken advantage of the methodological and conceptual advances within time series econometrics over the last twenty years. The modelling of wages and prices takes a central part in the book as the authors interpret and evaluate the last forty years of international research experience in the light of the Norwegian 'main course' model of inflation in a small open economy. The preferred model is a dynamic model of incomplete competition, which is evaluated against alternatives as diverse as the Phillips curve, Nickell-Layard wage curves, the New Keynesian Phillips curve, and monetary inflation models on data from the Euro area, the UK, and Norway. The wage price core model is built into a small econometric model for Norway to analyse the transmission mechanism and to evaluate monetary policy rules. The final chapter explores the main sources of forecast failure likely to occur in a practical modelling situation, using the large-scale nodel RIMINI and the inflation models of earlier chapters as case studies.

Testing Exogeneity in Overidentified Models

Author : Nunzio Cappuccio
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (461 download)

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Book Synopsis Testing Exogeneity in Overidentified Models by : Nunzio Cappuccio

Download or read book Testing Exogeneity in Overidentified Models written by Nunzio Cappuccio and published by . This book was released on 1990 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: