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emp_id
2013 Jul 11
1
Testing for weak exogeneity in a SUR ECM
...n federal
states.
As I expect the labour markets to be correlated I used a Seemingly Unrelated
Regression using systemfit in R.
My Model is:
d(emp)_it = c + alpha*ln(emp)_i,t-1 + beta_1*ln(gdp)_i,t-1 + +
beta_2*ln(wage)_i,t-1 + + beta_1*ln(i)_i,t-1 + gamma_1*d(gdp)_it +
gamma_2*d(wage)_it
with emp_it being the employment in state i at time t, i stands for the real
interest rate, ln() is the logarithmed data, while d() stands for the
difference operator.
I would like to test now for weak exogeneity and I am not quite sure what
kind of regression to run. If I run:
d(gdp)_it = c + alpha*ln(emp)...