THE CONCEPT OF EXOGENEITY IN ECONOMETRICS

Kanta Marwah
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Kanta Marwah: Carleton University, Canada

Chapter 16 in Selected Papers of Lawrence R Klein: Theoretical Reflections and Econometric Applications, 1997, pp 298-310 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThis paper is concerned with the concept of exogeneity of variables in structural econometric models. Examples from recent economic history are presented which illustrate their generation and their importance for prediction. The relationship of exogenous variables to vector autoregressive models and the notion of Granger-causality is also discussed.

Keywords: Macroeconomics: Theory; Policy Formation; Reconsiderations; Macroeconometric Models: Methodology; Forecasting; Debate; Prospects; International Economics: Capital Flows; Exchange Rates; Expectations (search for similar items in EconPapers)
JEL-codes: C1 C7 (search for similar items in EconPapers)
Date: 1997
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