Testing superexogeneity and invariance in regression models

  title={Testing superexogeneity and invariance in regression models},
  author={Robert F. Engle and David F. Hendry},
  journal={Journal of Econometrics},
Abstract This paper introduces tests of superexogeneity and invariance. Under the null hypothesis the conditional model exhibits parameter constancy, while under the alternative shifts in the process of the independent variables induces shifts in the conditional model. The test is sensitive to particular types of parameter nonconstancy, especially with changing variances and covariances. We relate the test to rational expectations models and the Lucas critique. An empirical example of money… Expand
On the power of tests for superexogeneity and structural invariance
Abstract This paper examines the finite-sample power of tests of structural invariance and superexogeneity hypotheses in econometric models with contemporaneous conditioning variables. We considerExpand
Testing Parameter Constancy and Super Exogeneity in Econometric Equations
The paper is concerned with testing super exogeneity in a single equation that can either be linear or partially nonlinear. A joint test for testing both weak exogeneity and a form of invariance,Expand
Testing for superexogeneity of wage equations
The superexogeneity of wage equations is tested in four major European countries. This is an important issue because while only weak exogeneity is needed for estimation purposes and for testing, andExpand
We develop a new automatically-computable test for super exogeneity, using a variant of general-to-specific modelling. Based on the recent developments in impulse saturation applied to marginalExpand
Parameter instability, superexogeneity, and the monetary model of the exchange rate
Parameter Instability, Superexogeneity and the Monetary Model of the Exchange Rate. — This paper argues that failure to test for parameter time invariance yields misleading results. TimeExpand
Misspecification Testing: Non-Invariance of Expectations Models of Inflation
Many economic models (such as the new-Keynesian Phillips curve, NKPC) include expected future values, often estimated after replacing the expected value by the actual future outcome, usingExpand
An Automatic Test of Super Exogeneity
We develop a new automatically-computable test for super exogeneity, using a variant of general-to-specific modeling. Based on the recent developments of impulse saturation applied to marginal modelsExpand
Testing the Invariance of Expectations Models of Inflation
The new-Keynesian Phillips curve (NKPC) includes expected future inflation as a major feedforward variable to explain current inflation. Models of this type are regularly estimated by replacing theExpand
Superexogeneity and the dynamic linkages among international equity markets
Abstract In this article, we combine the Johansen procedure for cointegration testing with tests of weak exogeneity and invariance in order to ascertain whether a system of equity markets isExpand
Regression direction and weak exogeneity: Determining the conditioning properties of US money demand functions
Abstract The absence of testing for weak exogeneity in money demand has often led to stark conditioning claims regarding the validity of price equations. This paper uses the Johansen procedure toExpand


Specification tests in econometrics
Using the result that under the null hypothesis of no misspecification an asymptotically efficient estimator must have zero asymptotic covariance with its difference from a consistent butExpand
Testing the lucas critique: A review
Claims that the parameters of an econometric model are invariant under changes in either policy rules or expectations processes entail super exogeneity and encompassing implications. Super exogeneityExpand
A general approach to lagrange multiplier model diagnostics
Abstract A diagnostic test can be formulated by taking the current model as the null hypothesis and a particular form of misspecification as the alternative. The general approach of this paper is toExpand
Co-integration and error correction: representation, estimation and testing
The relationship between cointegration and error correction models, first suggested by Granger, is here extended and used to develop estimation procedures, tests, and empirical examples. A vector ofExpand
Interpreting Long-run Equilibrium Solutions in Conventional Macro Models: A Comment
C. M. Kelly (1985) claims that long-run solutions from econometric models may be seriously misleading when expectations variables are erroneou sly replaced by observed outcomes. It is shown that hisExpand
Alternative Tests of Independence between Stochastic Regressors and Disturbances
IN TESTING HYPOTHESES on the coefficients of a linear regression model with stochastic regressors it is well known that the usual t test and F test are applicable if the stochastic regressors areExpand
On the Formulation of Empirical-models in Dynamic Econometrics
Abstract Available information is considered as partitioned into the sets: past, present, and future observations, other data of competing models and theory knowledge. In each case, specific conceptsExpand
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
This paper presents a parameter covariance matrix estimator which is consistent even when the disturbances of a linear regression model are heteroskedastic. This estimator does not depend on a formalExpand
Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
Traditional econometric models assume a constant one-period forecast variance. To generalize this implausible assumption, a new class of stochastic processes called autoregressive conditionalExpand
An econometric analysis of UK money demand in MONETARY TRENDS IN THE UNITED STATES AND THE UNITED KINGDOM by Milton Friedman and Anna J. Schwartz
This paper evaluates an empirical model of U.K. money demand developed by Milton Friedman and Anna J. Schwartz in Monetary Trends in the United States and the United Kingdom. Testing revealsExpand