Block Exogeneity Test

[sguerra]

Dear Users,

I just want to request a little help about the Block Exogeneity test sugested on page 342 of the RATS Readers Manuals.

This test has a null hypothesis that the lags of one set of variables do not enter the equations for the remaining variables.

In the example sugested above, the rats manual shows how 3 real variables are as a block exogenuos. (GDPQ UNEMPRATE, GPDI)

Example VARCAUSE.PRG

(Please take your time to see the example)

The test just exclude nominal variables (GDPDEFL{1 to 4} and M2{1 to 4}) that you may incorporate as deterministics, and then you test using the RATIO instruction if those laged variables help to explain the whole system.

My question then is, WHY the manual tell us that the test is trying to see the Exogeneity of REAL variables?

Thanks for your help

Sergio Guerra