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Testing Exogeneity by Neil R. Ericsson
Book DescriptionThis book discusses the nature of exogeneity - a central concept in econometrics - and shows how to test for it through numerous substantive empirical examples. Part I considers what exogeneity is and how it can be tested. Part II contains applications to models of expenditure, money demand, inflation, wages and prices, and exchange rates across both developed and developing countries. Part III extends various tests of constancy and forecast accuracy, which are central to testing super exogeneity. The papers forming the core of this book (from two special issues of the Journal of Policy Modeling) provide a unique and unified perspective on applied econometric modelling in general and on exogeneity tests in particular. The applications are substantive and diverse, with a broad appeal to the applied economist. Contributors: H. Ahumada, G. Bardsen, J. Campos, M. Deutsch, R. F. Engle, Neil R. Ericsson, C. W. J. Granger, B. E. Hansen, David F. Hendry, J. Hunter, S. Johansen, K. Juselius, R. Numoen, Jean-Francois Richard
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Book DetailsISBN: 9780198774044
(235mm x 157mm x 25mm)
Imprint: Oxford University Press
Publisher: Oxford University Press
Publish Date: 16-Feb-1995
Country of Publication: United Kingdom
Books By Author Neil R. Ericsson
Understanding Economic Forecasts, Paperback (September 2003)» View all books by Neil R. Ericsson
How to interpret and evaluate economic forecasts and the uncertainties inherent in them.
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