An `Expanded Equation' Approach to Weak-Exogeneity Tests in Structural Systems and a Monetary Application
提出一种检验结构系统中变量弱外生性的简单方法，通过扩展方程系统检验残差系数是否为零，并应用于美联储控制联邦基金利率的有效性检验。
Let y (subscript a), y (subscript b) denote the endogenous variables in a conventional structural system. The paper presents a simple test of H (subscript o) : y (subscript a) is weakly exogenous with respect to y (subscript b)'s structural system (SES [subscript b]). The test is a test of whether y (subscript a)'s reduced form residuals have zero coefficients in an expanded equation system (EES [subscript b]), which is the conditional version of the SES (subscript b), conditional on y (subscript a). It is implemented empirically to test whether the Fed was successful in controlling the federal funds rate over the regime in question. The paper also presents a generalization of Hausman's difference test, a comparative view of most available tests, and some exact relations among the structural estimators. Copyright 1990 by MIT Press.