An 'Expanded Equation' Approach to Weak-Exogeneity Tests in Structural Systems and a Monetary Application.
Let y (subscript "a"), y (subscript "b") denote the endogenous variables in a conventional structural system. The paper presents a simple test of H (subscript "o") : y (subscript "a") is weakly exogenous with respect to y (subscript "b")'s structural equation system (SES [subscript "b"]). The test is a test of whether y (subscript "a")'s reduced form residuals have zero coefficients in an "expanded equation" system (EES [subscript "b"]), which is the conditional version of the SES (subscript "b"), conditional on y (subscript "a"). It is implemented empirically to test whether the Fed was successful in controlling the federal funds rate over the regime in question. The paper also presents a generalization of Hausman's "difference test," a comparative view of most available tests, and some exact relations among the structural estimators. Copyright 1990 by MIT Press.
Year of publication: |
1990
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Authors: | Revankar, Nagesh S ; Yoshino, Naoyuki |
Published in: |
The Review of Economics and Statistics. - MIT Press. - Vol. 72.1990, 1, p. 173-77
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Publisher: |
MIT Press |
Saved in:
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