An 'Expanded Equation' Approach to Weak-Exogeneity Tests in Structural Systems and a Monetary Application
An 'Expanded Equation' Approach to Weak-Exogeneity Tests in Structural Systems and a Monetary Application
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结构系统弱外生性检验的“扩展方程”方法和货币应用
DOI：
10.2307/2109757
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发表时间：
1990
期刊：
影响因子：
--
通讯作者：
N. Yoshino
中科院分区：
文献类型：
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作者：
N. S. Revankar;N. Yoshino
设y（下标“a”），y（下标“B”）表示常规结构系统中的内生变量。本文给出了H（下标“o”）的一个简单检验：y（下标“a”）关于y（下标“B”）的结构方程组（SES [下标“B”]）是弱外生的。该检验是对y（下标“a”）的简化形式残差在“扩展方程”系统（EES [下标“B”]）中是否具有零系数的检验，该系统是SES（下标“B”）的条件版本，以y（下标“a”）为条件。它是通过实证来检验美联储是否成功地控制了联邦基金利率。本文还提出了一个推广的Hausman的“差异测试，”一个比较查看大多数可用的测试，和一些确切的关系之间的结构估计。版权所有1990年由麻省理工学院出版社。
Let y (subscript "a"), y (subscript "b") denote the endogenous variables in a conventional structural system. The paper presents a simple test of H (subscript "o") : y (subscript "a") is weakly exogenous with respect to y (subscript "b")'s structural equation system (SES [subscript "b"]). The test is a test of whether y (subscript "a")'s reduced form residuals have zero coefficients in an "expanded equation" system (EES [subscript "b"]), which is the conditional version of the SES (subscript "b"), conditional on y (subscript "a"). It is implemented empirically to test whether the Fed was successful in controlling the federal funds rate over the regime in question. The paper also presents a generalization of Hausman's "difference test," a comparative view of most available tests, and some exact relations among the structural estimators. Copyright 1990 by MIT Press.