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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.
| Preface | ||
| Contributors and Their Current Affiliations | ||
| 1 | Testing Exogeneity: An Introduction | 3 |
| 2 | Exogeneity | 39 |
| 3 | The Encompassing Implications of Feedback versus Feedforward Mechanisms in Econometrics | 71 |
| 4 | Testing Super Exogeneity and Invariance in Regression Models | 93 |
| 5 | Testing Weak Exogeneity and the Order of Cointegration in U.K. Money Demand Data | 121 |
| 6 | Tests of Cointegrating Exogeneity for PPP and Uncovered Interest Rate Parity in the United Kingdom | 145 |
| 7 | Domestic and Foreign Effects on Prices in an Open Economy: The Case of Denmark | 161 |
| 8 | A Dynamic Model of the Demand for Currency: Argentina 1977-1988 | 191 |
| 9 | Dynamic Modeling of the Demand for Narrow Money in Norway | 219 |
| 10 | Finnish Manufacturing Wages 1960-1987: Real-wage Flexibility and Hysteresis | 251 |
| 11 | An Econometric Analysis of TV Advertising Expenditure in the United Kingdom | 275 |
| 12 | Parameter Constancy, Mean Square Forecast Errors, and Measuring Forecast Performance: An Exposition, Extensions, and Illustration | 311 |
| 13 | Comments on the Evaluation of Policy Models | 341 |
| 14 | Confidence Intervals for Linear Combinations of Forecasts from Dynamic Econometric Models | 361 |
| 15 | Testing for Parameter Instability in Linear Models | 389 |
| Index | 407 |
Overview
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 ...