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Testing Superexogeneity and Invariance in Regression Models.

Abstract:

This paper introduces tests of superexogeneity and invariance. Under the null hypothesis, the conditional model exhibit s parameter constancy while under the alternative shifts in the proces s 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. The authors rela te the test to rational expectations models and the Lucas critique. An empirical example of mone...

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Journal:
Journal of Econometrics
Volume:
56
Publication date:
1993-01-01
URN:
uuid:e0418cea-12bf-40ad-88e9-e65f92c647fc
Local pid:
oai:economics.ouls.ox.ac.uk:10908
Language:
English

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