Testing the exogeneity specification in the complete dynamic simultaneous equation model

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dc.contributor.author Geweke, J
dc.date.accessioned 2011-02-07T06:26:23Z
dc.date.issued 1978
dc.identifier.citation Journal of Econometrics, 1978, 7 (2), pp. 163 - 185
dc.identifier.issn 0304-4076
dc.identifier.other C1UNSUBMIT en_US
dc.identifier.uri http://hdl.handle.net/10453/13963
dc.description.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 isderived. 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. © 1978.
dc.language eng
dc.relation.isbasedon 10.1016/0304-4076(78)90067-2
dc.title Testing the exogeneity specification in the complete dynamic simultaneous equation model
dc.type Journal Article
dc.parent Journal of Econometrics
dc.journal.volume 2
dc.journal.volume 7
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 Economic Models and Forecasting
dc.personcode 101228
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
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Business/Economics
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
utslib.collection.history Closed (ID: 3)


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