| Autor: Mariusz Doszyń | 33 |
Strony: 33-40
pełen tekst
TESTING EXOGENEITY IN ECONOMETRIC MODELS
Summary
In the article necessity of testing exogeneity of variables in econometric models was emphasized. Most popular in econometric literature conceptions of exogeneity such as predetermination, strict exogeneity, weak exogeneity, superexogeneity, strong exogeneity, Granger causality were presented. Hausman test useful while testing exogeneity (but also when verifying hypothesis that states errors in variables) was described. Types of relationships between variables were presented. Hausman test is based on comparison of estimator of ordinary least squares method (OLS) and instrumental variable estimator (IV). In empirical example exogeneity of disposable incomes in econometric model with individual consumption as a dependent variable was tested. Time variable was also involved as a independent variable.
pełen tekstTESTING EXOGENEITY IN ECONOMETRIC MODELS
Summary
In the article necessity of testing exogeneity of variables in econometric models was emphasized. Most popular in econometric literature conceptions of exogeneity such as predetermination, strict exogeneity, weak exogeneity, superexogeneity, strong exogeneity, Granger causality were presented. Hausman test useful while testing exogeneity (but also when verifying hypothesis that states errors in variables) was described. Types of relationships between variables were presented. Hausman test is based on comparison of estimator of ordinary least squares method (OLS) and instrumental variable estimator (IV). In empirical example exogeneity of disposable incomes in econometric model with individual consumption as a dependent variable was tested. Time variable was also involved as a independent variable.