TESTING FOR EXOGENEITY IN UNDERÎDENTİFİED MODELS AND ITS IMPLICATION FOR TESTING RECURSIVENESS IN TRIANGULAR SYSTEMS: A NOTE IN CLARIFICATION

Date

1989

Author

ERLAT, Haluk

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We consider testing the diagonality of the disturbance covariance matrix in triangular simultaneous equation systems when one or more of the structural equations may be underîdentified. The test statistic under consideration is based on tesüng the weak exogeneity of the endogeneous explanatory variables in eadı equ- ation. WHhin this framework, we ofotain a statistic to test the exo- geneity in an underîdentified structural equation due to Farebrother in a manner in which its links to the linear hypothesis testing fra- mework utilised, e.g., by Hausman, are made explicit. We then - show that this statistic is nothing but the Revankar- Bartley sta- tistic and provide an interpretation of the test based on this relation- ship. FinaSly, the implication of this interpretation for testing re- cursiveness is indicated.

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https://hdl.handle.net/11511/110812

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Department of Economics, Article