Endogeneity and Exogeneity

  • John Geweke
Part of the The New Palgrave book series

Abstract

Endogeneity and exogeneity are properties of variables in economic or econometric models. The specification of these properties for respective variables is an essential component of the entire process of model specification. The words have an ambiguous meaning, for they have been applied in closely related but conceptually distinct ways, particularly in the specification of stochastic models. We consider in turn the case of deterministic and stochastic models, concentrating mainly on the latter.

Keywords

Income 

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Bibliography

  1. Christ, C.F. 1966. Econometric Models and Methods. New York: Wiley.Google Scholar
  2. Engle, R.F., Hendry, D.F. and Richard, J.-F. 1983. Exogeneity. Econometrica 51(2), March, 277–304.Google Scholar
  3. Geweke, J. 1978. Testing the exogeneity specification in the complete dynamic simultaneous equation model. Journal of Econometrics 7(2), April, 163–85.CrossRefGoogle Scholar
  4. Geweke, J. 1982. Causality, exogeneity, and inference. Ch7 in Advances in Econometrics, ed. W. Hildenbrand, Cambridge: Cambridge University Press.Google Scholar
  5. Geweke, J. 1984. Inference and causality. Ch. 19 in Handbook of Econometrics, Vol. 2, ed. Z. Griliches and M.D. Intriligator, Amsterdam: North-Holland.Google Scholar
  6. Koopmans, T.C. 1950. When is an equation system complete for statistical purposes? In Statistical Inference in Dynamic Economic Models, ed. T.C. Koopmans, New York: Wiley.Google Scholar
  7. Koopmans, T.C. and Hood, W.C. 1953. The estimation of simultaneous economic relationships. In Studies in Econometric Method, ed. W.C. Hood and T.C. Koopmans, New York: Wiley.Google Scholar
  8. Sims, C.A. 1972. Money, income, and causality. American Economic Review 62(4), September, 540–52.Google Scholar
  9. Sims, C.A. 1977. Exogeneity and causal ordering in macroeconomic models. In New Methods in Business Cycle Research, ed. C.A. Sims, Minneapolis: Federal Reserve Bank of Minneapolis.Google Scholar
  10. Theil, H. 1971. Principles of Econometrics. New York: Wiley.Google Scholar

Copyright information

© Palgrave Macmillan, a division of Macmillan Publishers Limited 1990

Authors and Affiliations

  • John Geweke

There are no affiliations available

Personalised recommendations