Testing the exogeneity specification in the complete dynamic simultaneous equation model

DOI10.1016/0304-4076(78)90067-2MaRDI QIDQ1256287zbMATH OpenOpenAlexFDO

Authors John Geweke

Publication date 1978

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(78)90067-2

zbMATH Keywords

StationarityComplete Dynamic Simultaneous Equation ModelEndogenous VariablesExogenous VariablesTesting Exogeneity Specification

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

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Cited in

(3)

• Comparing alternative tests of causality in temporal systems. Analytic results and experimental evidence
• Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality'
• An empirical investigation among real, monetary and financial variables

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