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The Concept Of Exogeneity In Econometrics

In: Selected Papers Of Lawrence R Klein: Theoretical Reflections And Econometric Applications

Author

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  • Kanta Marwah

    (Carleton University, Canada)

Abstract

This 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.

Suggested Citation

  • Kanta Marwah, 1997. "The Concept Of Exogeneity In Econometrics," World Scientific Book Chapters, in: Kanta Marwah (ed.), Selected Papers Of Lawrence R Klein: Theoretical Reflections And Econometric Applications, chapter 16, pages 298-310, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812830333_0016
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    More about this item

    Keywords

    Macroeconomics: Theory; Policy Formation; Reconsiderations; Macroeconometric Models: Methodology; Forecasting; Debate; Prospects; International Economics: Capital Flows; Exchange Rates; Expectations;
    All these keywords.

    JEL classification:

    • C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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