EconPapers    
Economics at your fingertips  
 

Testing Parameter Constancy and super Exogeneity in Econometric Equations

Eilev Jansen () and Timo Teräsvirta ()

No 53, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: The paper is concerned with testing super exogeneity in a single equation that can either be linear or partially nonlinear. A joint test for testing both weak exogeneity and a form of invariance, which together amount to super exogeneity, is presented and its properties discussed. The considerations also include testing parameter constancy and modelling parameter nonconstancy prior to testing super exogeneity. The practical application of the tests is demonstrated by an example in which testing super exogeneity in a previously published consumption function for Norway is considered. The results are compared with the previous conclusions and found not to disagree with them.

Keywords: Changing seasonality; invariance; linearity testing; model specification; parameter stability; weak exogeneity (search for similar items in EconPapers)
JEL-codes: C52 (search for similar items in EconPapers)
Date: 1995-05
References: Add references at CitEc
Citations: Track citations by RSS feed

Published in Oxford Bulletin of Economics and Statistics, 1996, pages 735-763

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Testing Parameter Constancy and Super Exogeneity in Econometric Equations (1996)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0053

Access Statistics for this paper

More papers in SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by Helena Lundin ().

 
Page updated 2019-09-15
Handle: RePEc:hhs:hastef:0053