A simple test of exogeneity for recursively structured VAR models

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The restriction of exogeneity of certain variables in structural VAR models is rarely tested for consistency with the actual data. The reason is obvious: such a test requires estimates of the structural parameters. This paper proposes a solution for models that assume long-run or contemporaneous recursive structures in identification. We show that in such cases, the exogeneity restriction can be assessed statistically using the well-known Granger non-causality test which is conveniently performed in the reduced-form VAR model. Two empirical examples are offered to demonstrate the usefulness of this result.

Original languageEnglish
Pages (from-to)2307-2313
Number of pages7
JournalApplied Economics
Issue number20
Publication statusPublished - 2005 Nov 10

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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