Econometrica: Mar, 1983, Volume 51, Issue 2

Exogeneity

https://doi.org/0012-9682(198303)51:2<277:E>2.0.CO;2-W
p. 277-304

David F. Hendry, Jean-Francois Richard, Robert F. Engle

Definitions are proposed for weak and strong exogeneity in terms of the distribution of observable variables. The objectives of the paper are to clarify the concepts involved, isolate the essential requirements for a variable to be exogenous, and relate them to notions of predeterminedness, strict exogeneity and causality in order to facilitate econometric modelling. Worlds of parameter change are considered and exogeneity is related to structural invariance leading to a definition of super exogeneity. Throughout the paper, illustrative models are used to exposit the analysis.