The Concept of Exogeneity in Econometrics
Chapter
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.
Keywords
Exogenous Variable Econometric Model Granger Causality Vector Autoregressive Model Stock Market Crash
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© Springer-Verlag New York Inc. 1990