A test of the exogeneity of national variables in a regional econometric model
Abstract: Many regional econometric models are estimated under the maintained assumption that certain national variables are exogenous with respect to the regional variables in the models. This exogeneity assumption is testable using time series methods of inference, yet, to my knowledge, no regional model has been so tested. In this paper, I test the national exogeneity assumption included in the specification of a particular regional forecasting model. Such a test is, I believe, a necessary and important step in the construction of any econometric model.
File(s): File format is application/pdf http://www.minneapolisfed.org/research/common/pub_detail.cfm?pb_autonum_id=530
Provider: Federal Reserve Bank of Minneapolis
Part of Series: Working Papers
Publication Date: 1979