Weak Exogeneity

Engle, R.F., D.F. Hendry and J.-F. Richard, (1983), Exogeneity, Econometrica,51, 277-304.

Engle et al bring up the attention of econometrician to the important concept of weak exogeneity in 1983. They clarify concepts related to weak and strong exogeneity, isolate the essential requirements for a variable to be exogeneous, and illustrate their relationship to predeterminedness, strict exgoneneity and Granger causality to facilitate econometric modelling. They introduce the concept of variation free for parameters of interest, which helps to simplify the estimation of econometric models sharing the property of weak exogeneity.

Professor D.S.G. POLLOCK's (at University of Leicester, UK) topics in Econometrics also covered this topic: Weak Exogeneity. Professor Pollock illustrates the main idea of Engle et al (1983) and attempts to convey the simple idea of weak exogeneity in the context of bivariate distribution. A so-called cobweb model describing the agriculture market is also investigated to demonstrate the concept of weak exogeneity in the framework of structural model.

It might be closely related to our current research and it provides evidence for our supervision modelling approach, in the case that some of the parameters/underlying factors in the model are not variation free. Thanks for my co-author for putting me on this journey.