Chapter

Exogeneity and Causality

David F. Hendry

in Dynamic Econometrics

Published in print February 1995 | ISBN: 9780198283164
Published online November 2003 | e-ISBN: 9780191596384 | DOI: http://dx.doi.org/10.1093/0198283164.003.0005

Series: Advanced Texts in Econometrics

 Exogeneity and Causality

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Weak exogeneity sustains conditional inference about parameters of interest without loss of information. Strong exogeneity, weak exogeneity with Granger non‐causality, sustains conditional forecasting. Super exogeneity, weak exogeneity with invariance of parameters to interventions, sustains conditional policy analyses. Concepts of causality, and estimation and inference in conditional models of unit‐root processes are considered.

Keywords: causality; conditional inference; Granger non‐causality; invariance under interventions; super exogeneity; weak exogeneity

Chapter.  21850 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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