Exogeneity - MaRDI portal

regression causality likelihood function maximum likelihood estimates weak exogeneity strict exogeneity predeterminedness strong exogeneity super exogeneity illustrative models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cited In (only showing first 100 items - show all)

Semiparametric efficiency bound in time-series models for conditional quantiles
Testing for structural change in conditional models
TRYGVE HAAVELMO AND THE EMERGENCE OF CAUSAL CALCULUS
CONDITIONING IN DYNAMIC MODELS
Prediction tests in limited dependent variable models
Testing nonnested Euler conditions with quadrature-based methods of approximation
Cointegration in partial systems and the efficiency of single-equation analysis
Bayesian long-run prediction in time series models
The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES
The failure of orthogonality under nonstationarity: should we care about it?
Nonlinearity and Endogeneity in Macro-Asset Pricing
Multi-step estimation and forecasting in dynamic models
A new marked point process model for the federal funds rate target: methodology and forecast evaluation
Structural econometric modeling and time series analysis
Testing exogeneity in overidentified models
Tests of overidentification and predeterminedness in simultaneous equation models
A Bayesian analysis of exogeneity in models pooling time-series and cross-sectional data
Asymptotic robustness of tests of overidentification and predeterminedness
A multiplicative model for volume and volatility
ECONOMETRIC THEORY, by James Davidson, Blackwell Publishers, 2000
Endogeneity in high dimensions
VAR for VaR: measuring tail dependence using multivariate regression quantiles
Choice as an alternative to control in observational studies. (With comments and a rejoinder).
Statistical inference on cointegration rank in error correction models with stationary covariates
Effects of a signal-to-noise ratio on finite sample inference for cointegrating vectors
Editorial: Causality and exogeneity in econometrics
Exogeneity in structural equation models
Non-causality in bivariate binary time series
Nonresponse in dynamic panel data models
Bayesian efficiency analysis through individual effects: Hospital cost frontiers
On the specification and estimation of large scale simultaneous structural macroeconometric models
An alternative bootstrap to moving blocks for time series regression models
The structure of US food demand
An analogue model of phase-averaging procedures
Lagrance-multiplier tersts for weak exogeneity: a synthesis
Estimation of cointegrated models with exogenous variables
Mixed INAR(1) Poisson regression models: Analyzing heterogeneity and serial dependencies in longitudinal count data
On the statistical identification of DSGE models
The role of beliefs in inference for rational expectations models
A multicointegration model of global climate change
Weak exogeneity in \(I(2)\) VAR systems
Efficient inference on cointegration parameters in structural error correction models
Cointegration tests in the presence of structural breaks
A low-dimension portmanteau test for non-linearity
Estimation of an autoregressive semiparametric model with exogenous variables
The econometric consequences of the ceteris paribus condition in economic theory
On the unidentifiability of the fixed-effects 3PL model
Efficient estimation and stratified sampling
On the formulation of empirical models in dynamic econometrics
Granger causality
Inference and testing on the boundary in extended constant conditional correlation GARCH models
Bootstrap inference in systems of single equation error correction models
INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS
A simple message for autocorrelation correctors: Don't
Limit theory for panel data models with cross sectional dependence and sequential exogeneity
Surprise volume and heteroskedasticity in equity market returns
Dynamic modelling and causality
Modelling the persistence of conditional variances
If Nonlinear Models Cannot Forecast, What Use Are They?
Inferring causal relations by modelling structures
On the interactions of unit roots and exogeneity
Granger causality, exogeneity, cointegration, and economic policy analysis
School system evaluation by value added analysis under endogeneity
Score tests for zero covariances in recursive linear models for grouped or censored data
Interpreting cointegrating vectors and common stochastic trends
ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS
Wald tests for the independence of stochastic variables and disturbance of a single linear stochastic simultaneous equation
Identification of linear stochastic models with covariance restrictions
Testing strategies for model specification
Structural time series modeling: A Bayesian approach
QML inference for volatility models with covariates
A general approach to Lagrange multiplier model diagnostics
The dynamic effects of aggregate demand and supply disturbances: Another Look
Varying coefficient models revisited: an econometric view
From association to causation via regression
Testing weak exogeneity in multiplicative error models
Iterations of dependent random maps and exogeneity in nonlinear dynamics
Healthy, wealthy, and wise? Tests for direct causal paths between health and socioeconomic status. (With commentaries and responses)
Parametric and nonparametric regression in the presence of endogenous control variables
Estimation in the presence of many nuisance parameters: composite likelihood and plug-in likelihood
Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory
Integer-valued Lévy processes and low latency financial econometrics
Outliers and model selection: Discussion of the paper by Søren Johansen and Bent Nielsen
Geometric and long run aspects of Granger causality
MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY
A spectral EM algorithm for dynamic factor models
Clive W. J. Granger and cointegration
Probabilities and experiments
On the properties of the likelihood function of Spanos' conditional \(t\) heteroskedastic model
A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts
Combining a regression model with a multivariate Markov chain in a forecasting problem
A note on weak exogeneity in VAR cointegrated models
Conditional and structural error correction models
Exclusion restrictions in instrumental variables equations
A small sample correction for tests of hypotheses on the cointegrating vectors
The relation of different concepts of causality used in time series and microeconometrics
A note on endogenous control variables in causal studies
Stochastic ceteris paribus simulations
Simulated minimum distance estimation of dynamic models with errors-in-variables

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