Predetermined variable

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In the Ökonometrie  and there in particular in the simultaneous equation models, one is predetermined variable , also Predetermined variable called, a variable which is determined outside the model or has been determined. In econometric models, this implies for a lagged variable that the disturbance term of the current period is uncorrelated with the current or lagged values ​​of the predetermined variables, but could be correlated with the future values ( partially independent stochastic regressors ). This constraint is weaker than that of strict exogeneity , which presupposes that the variable is uncorrelated with past present and future values.

For statistical purposes it is important to distinguish between commonly dependent and predetermined variables. An example of predetermined variables are delayed exogenous or delayed endogenous variables .

classification

Predetermined variables include:

The non-delayed exogenous variables can be classified as predetermined variables because exogenous variables are by definition determined outside of the model. The lagged exogenous variables are also explained outside the model and at a previous point in time and are therefore predetermined. In the case of the delayed endogenous variables, the predetermination results only from the fact that they are explained in a previous period, but not in the current period t .

Web links

Individual evidence

  1. ↑ George G. Judge, R. Carter Hill, W. Griffiths, Helmut Lütkepohl, TC Lee. Introduction to the Theory and Practice of Econometrics. 2nd Edition. John Wiley & Sons, New York / Chichester / Brisbane / Toronto / Singapore 1988, ISBN 0-471-62414-4 , p. 601.
  2. ↑ George G. Judge, R. Carter Hill, W. Griffiths, Helmut Lütkepohl , TC Lee. Introduction to the Theory and Practice of Econometrics. 2nd Edition. John Wiley & Sons, New York / Chichester / Brisbane / Toronto / Singapore 1988, ISBN 0-471-62414-4 , p. 601.
  3. ↑ Bernd Rönz and Erhard Förster: Regression and Correlation Analysis : Basics - Methods - Examples. , P. 258.