Scandinavian Working Papers in Economics

SSE/EFI Working Paper Series in Economics and Finance,
Stockholm School of Economics

No 53: Testing Parameter Constancy and super Exogeneity in Econometric Equations

Eilev S. Jansen and Timo Teräsvirta ()
Additional contact information
Timo Teräsvirta: Dept. of Economic Statistics, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden

Abstract: The paper is concerned with testing super exogeneity in a single equation that can either be linear or partially nonlinear. A joint test for testing both weak exogeneity and a form of invariance, which together amount to super exogeneity, is presented and its properties discussed. The considerations also include testing parameter constancy and modelling parameter nonconstancy prior to testing super exogeneity. The practical application of the tests is demonstrated by an example in which testing super exogeneity in a previously published consumption function for Norway is considered. The results are compared with the previous conclusions and found not to disagree with them.

Keywords: Changing seasonality; invariance; linearity testing; model specification; parameter stability; weak exogeneity

JEL-codes: C52

36 pages, May 1995

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