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Endogeneity, exogeneity and economic policy empirical evidence on the econometrics of new classical macroeconomics

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Zusammenfassung

Die Neue Klassische Makroökonomik provozierte nicht nur die ökonomische Theorie, sondern brachte auch eine neue Herausforderung für die ökonometrische Methodologie im Zusammenhang mit der Parameterschätzung unter der Hypothese der rationalen Erwartungsbildung und unter dem Einfluß von Reaktionen auf Maßnahmen der Wirtschaftspolitik, vor allem aber wurde eine neue Diskussion über Kausalität, Endogenität, Exogenität und die Grenzen der traditionellen ökonometrischen Strukturmodelle initiiert.

Anhand von Wiener-Granger-Kausalitätstests wird die Grenze der Aussagefähigkeit dieser Testverfahren zur Identifikation von Abhängigkeiten zwischen ökonomischen Variablen diskutiert. Mittels des datenanalytischen Verfahrens der Hauptkomponentenanalyse wird die Möglichkeit einer altenativen Parametrisierung einer ökonomischen Datenbasis demonstriert, aus der ein stochastisches Maß für die Endogenität bzw. Exogenität einer Variablen bezüglich eines Datensatzes entwickelt wird.

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Authors and Affiliations

  1. Economics Department, University of Graz, Universitätsplatz 3, A-8020, Graz, Austria

    Stefan Schleicher

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  1. Stefan Schleicher
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Schleicher, S. Endogeneity, exogeneity and economic policy empirical evidence on the econometrics of new classical macroeconomics. Empirica 9, 93–111 (1982). https://doi.org/10.1007/BF00924944

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