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Exogeneity and Causality

David F. Hendry

in Dynamic Econometrics

Published in print:
1995
Published Online:
November 2003
ISBN:
9780198283164
eISBN:
9780191596384
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198283164.003.0005
Subject:
Economics and Finance, Econometrics

Weak exogeneity sustains conditional inference about parameters of interest without loss of information. Strong exogeneity, weak exogeneity with Granger non‐causality, sustains conditional ... More


Exogeneity

David F. Hendry, Robert F. Engle, and Jean‐François Richard

in Econometrics: Alchemy or Science?: Essays in Econometric Methodology

Published in print:
2000
Published Online:
November 2003
ISBN:
9780198293545
eISBN:
9780191596391
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198293542.003.0016
Subject:
Economics and Finance, Econometrics

Exogenous variables play a crucial role in econometrics, yet ‘exogeneity’ is often imprecise. Exogenous connotes ‘being determined outside of (the model under analysis)’, so it cannot be a property ... More


The Econometric Analysis of Economic Time Series

David F. Hendry and Jean‐François Richard

in Econometrics: Alchemy or Science?: Essays in Econometric Methodology

Published in print:
2000
Published Online:
November 2003
ISBN:
9780198293545
eISBN:
9780191596391
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198293542.003.0018
Subject:
Economics and Finance, Econometrics

This overview proposes a general framework linking economic analysis to a reduction‐based statistical methodology based on parameter change, expectations and contingent plans, conditioning and weak ... More


On the Formulation of Empirical Models in Dynamic Econometrics

David F. Hendry and Jean‐François Richard

in Econometrics: Alchemy or Science?: Essays in Econometric Methodology

Published in print:
2000
Published Online:
November 2003
ISBN:
9780198293545
eISBN:
9780191596391
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198293542.003.0017
Subject:
Economics and Finance, Econometrics

Investigates the constructs of innovation errors, invariance, encompassing, and data admissibility, relates these to exogeneity and progressive research strategies, and introduces the notion of ... More


Different Modelling Strategies on Multiple Relationships

Michio Hatanaka

in Time-Series-Based Econometrics: Unit Roots and Co-integrations

Published in print:
1996
Published Online:
November 2003
ISBN:
9780198773535
eISBN:
9780191596360
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198773536.003.0011
Subject:
Economics and Finance, Econometrics

This chapter compares two modelling strategies. One starts with vector autoregressive process modelling with as few economic theories as possible. The other fully incorporates economic theories into ... More


Econometrics in Action

David F. Hendry

in Dynamic Econometrics

Published in print:
1995
Published Online:
November 2003
ISBN:
9780198283164
eISBN:
9780191596384
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198283164.003.0016
Subject:
Economics and Finance, Econometrics

The methods, approaches, and principles are applied to modelling the transactions demand for money in the UK over 1963–89. Financial innovations affect the opportunity cost of holding money, captured ... More


Partial Systems and Hypotheses on α

Søren Johansen

in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Published in print:
1995
Published Online:
November 2003
ISBN:
9780198774501
eISBN:
9780191596476
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198774508.003.0008
Subject:
Economics and Finance, Econometrics

We discuss briefly partial systems, i.e. systems which are formulated as conditional models of some variables, the endogenous, given others, the exogenous. Such models are discussed in the framework ... More


Linear Transformations, Error Correction, and the Long Run in Dynamic Regression

Anindya Banerjee, Juan J. Dolado, John W. Galbraith, and David F. Hendry

in Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

Published in print:
1993
Published Online:
November 2003
ISBN:
9780198288107
eISBN:
9780191595899
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198288107.003.0002
Subject:
Economics and Finance, Econometrics

The focus in this chapter is on the properties of linear autoregressive‐distributed lag (ADL) models for stationary data processes, in order to understand later transformations in non‐stationary ... More


Predictive Failure and Econometric Modelling in Macroeconomics: The Transactions Demand for Money

David F. Hendry

in Econometrics: Alchemy or Science?: Essays in Econometric Methodology

Published in print:
2000
Published Online:
November 2003
ISBN:
9780198293545
eISBN:
9780191596391
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198293542.003.0012
Subject:
Economics and Finance, Econometrics

This tests the DHSY approach in another subject‐matter area (money demand) to investigate its ability to produce improved models and to encompass previous findings. ‘Simple‐to‐general’ modelling ... More


Interpreting Econometric Evidence: The Behaviour of Consumers' Expenditure in the United Kingdom

David F. Hendry and James E. H. Davidson

in Econometrics: Alchemy or Science?: Essays in Econometric Methodology

Published in print:
2000
Published Online:
November 2003
ISBN:
9780198293545
eISBN:
9780191596391
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198293542.003.0011
Subject:
Economics and Finance, Econometrics

Updates and tests whether DHSY and HUS specifications encompass the rational‐expectations, permanent‐income model by eliminating contemporaneous income terms. Both reject that model and lead to an ... More


Varx Modelling

M. Hashem Pesaran

in Time Series and Panel Data Econometrics

Published in print:
2015
Published Online:
March 2016
ISBN:
9780198736912
eISBN:
9780191800504
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198736912.003.0023
Subject:
Economics and Finance, Econometrics

This chapter generalizes the cointegration analysis of Chapter 22 and provides a brief account of the econometric issues involved in the modelling approach advanced by Pesaran, Shin, and Smith ... More


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