Testing superexogeneity and invariance in regression models

@article{Engle1993TestingSA,
  title={Testing superexogeneity and invariance in regression models},
  author={Robert F. Engle and David F. Hendry},
  journal={Journal of Econometrics},
  year={1993},
  volume={56},
  pages={119-139}
}
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
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