A test of the exogeneity of national variables in a regional econometric model

Paul A. Anderson

No 124, Working Papers from Federal Reserve Bank of Minneapolis

Abstract: Many regional econometric models are estimated under the maintained assumption that certain national variables are exogenous with respect to the regional variables in the models. This exogeneity assumption is testable using time series methods of inference, yet, to my knowledge, no regional model has been so tested. In this paper, I test the national exogeneity assumption included in the specification of a particular regional forecasting model. Such a test is, I believe, a necessary and important step in the construction of any econometric model.

Date: 1979
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedmwp:124

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