An 'Expanded Equation' Approach to Weak-Exogeneity Tests in Structural Systems and a Monetary Application.

A-Tier
Journal: Review of Economics and Statistics
Year: 1990
Volume: 72
Issue: 1
Pages: 173-77

Authors (2)

Revankar, Nagesh S (not in RePEc) Yoshino, Naoyuki (Tokyo Metropolitan University)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

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.

Technical Details

RePEc Handle
repec:tpr:restat:v:72:y:1990:i:1:p:173-77
Journal Field
General
Author Count
2
Added to Database
2026-01-29