Testing parameter constancy and super exogeneity in econometric equations

Article Abstract:

Super exogeneity in a single econometric equation that is either linear or partially nonlinear is tested through a joint analysis of both weak exogeneity and a form of invariance in the smooth transition regression (STR) framework. By testing super exogeneity in a consumption function for Norway as against a previously published model, parameter constancy and modelling parameter nonconstancy were also tested. It was shown that the use of the tests is fairly easy as the asymptotic statistical theory is simple and leads to standard null distributions. As such, these tests, coupled with the STR model, can be useful specification tools for econometricians.

Econometrics & Model Building, Business models

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Testing parameter constancy and super exogeneity in econometric equations

Article Abstract:

Parameter constancy and super exogeneity are tested in a single equation conditional model. This is made possible by a nonlinear smooth transition regression (STR) model, which can be used to adopt a parameter constancy substitute to test the parameter stability of a linear model. In addition, a useful alternative for testing invariance can be formulated.

Research, Regression analysis

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Econometric evaluation of the New Keynesian Phillips Curve

Article Abstract:

A study evaluating the New Keynesian Philips Curve (NKPC), as empirical model of European inflation, is presented.

Europe, Models, Inflation (Finance), Keynesian economics, Inflation (Economics)

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