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Testing exogeneity / [edited by] Neil R. Ericsson and John S. Irons.

Contributor(s): Material type: TextTextSeries: Advanced texts in econometricsPublication details: Oxford : Oxford University Press, 2012.Description: ix, 422 pages : illustrations ; 24 cmISBN:
  • 9780198774044 (pbk.)
Subject(s): DDC classification:
  • 330.015195 23 Er68
Contents:
1. Testing exogeneity : an introduction / Neil R. Ericsson -- 2. Exogeneity / Robert F. Engle, David F. Hendry, and Jean-François Richard -- 3. The encompassing implications of feedback versus feedforward mechanisms in econometrics / David F. Hendry -- 4. Testing super exogeneity and invariance in regression models / Robert F. Engle and David F. Hendry -- 5. Testing weak exogeneity and the order of cointegration in U.K. money demand data / Søren Johansen -- 6. Tests of cointegrating exogeneity for PPP and uncovered interest rate parity in the United Kingdom / John Hunter -- 7. Domestic and foreign effects on prices in an open economy : the case of Denmark / Katarina Juselius -- 8. A dynamic model of the demand for currency : Argentina 1977-1988 / Hildegart Ahumada -- 9. Dynamic modeling of the demand for narrow money in Norway / Gunnar Bårdsen -- 10. Finnish manufacturing wages 1960-1987 : real-wage flexibility and hysteresis / Ragnar Nymoen -- 11. An econometric analysis of TV advertising expenditure in the United Kingdom / David F. Hendry -- 12. Parameter constancy, mean square forecast errors, and measuring forecast performance : an exposition, extensions, and illustration / Neil R. Ericsson -- 13. Comments on the evaluation of policy models / Clive W.J. Granger and Melinda Deutsch -- 14. Confidence intervals for linear combinations of forecasts from dynamic econometric models / Julia Campos -- 15. Testing for parameter instability in linear models / Bruce E. Hansen.
Summary: This book discusses the nature of exogeneity - a central concept in econometrics texts - and shows how to test for it by presenting a number of empirical examples, testing models of expenditure, money demand, inflation, wages and prices, and exchange rates.
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Holdings
Item type Current library Call number Status Date due Barcode Item holds
Books ISI Library, Kolkata 330.015195 Er68 (Browse shelf(Opens below)) Available 137926
Total holds: 0

Includes bibliographical references and index.

1. Testing exogeneity : an introduction / Neil R. Ericsson --
2. Exogeneity / Robert F. Engle, David F. Hendry, and Jean-François Richard --
3. The encompassing implications of feedback versus feedforward mechanisms in econometrics / David F. Hendry --
4. Testing super exogeneity and invariance in regression models / Robert F. Engle and David F. Hendry --
5. Testing weak exogeneity and the order of cointegration in U.K. money demand data / Søren Johansen --
6. Tests of cointegrating exogeneity for PPP and uncovered interest rate parity in the United Kingdom / John Hunter --
7. Domestic and foreign effects on prices in an open economy : the case of Denmark / Katarina Juselius --
8. A dynamic model of the demand for currency : Argentina 1977-1988 / Hildegart Ahumada --
9. Dynamic modeling of the demand for narrow money in Norway / Gunnar Bårdsen --
10. Finnish manufacturing wages 1960-1987 : real-wage flexibility and hysteresis / Ragnar Nymoen --
11. An econometric analysis of TV advertising expenditure in the United Kingdom / David F. Hendry --
12. Parameter constancy, mean square forecast errors, and measuring forecast performance : an exposition, extensions, and illustration / Neil R. Ericsson --
13. Comments on the evaluation of policy models / Clive W.J. Granger and Melinda Deutsch --
14. Confidence intervals for linear combinations of forecasts from dynamic econometric models / Julia Campos --
15. Testing for parameter instability in linear models / Bruce E. Hansen.

This book discusses the nature of exogeneity - a central concept in econometrics texts - and shows how to test for it by presenting a number of empirical examples, testing models of expenditure, money demand, inflation, wages and prices, and exchange rates.

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