摘要： 计量经济学中外生性的概念由职称论文发表期刊来己久。变量的外生性取决于所关注的模型参数以及模型的研究目的。根据统计推断、预测或政策分析三种不同研究目的，将外生性定义为弱外生、强外生和超外生。有效外生性假设能够简化建模方法，降低计算时代价，以及区分经济机制的变化导致的结果，而无效外生性假设会导致统计推断不满足一致性和有效性，并对预测和政策分析造成误导。因此，外生性及其检验方法在计量经济学分析中有着重要的理论和实际意义。1983年，Engle、Hendry和Richard完整定义了外生性后，西方学者纷纷致力于该领域的研究，而我国至今尚缺乏对外生性系统及其检验方法的研究与论述。本文对近年国际上外生性的研究作以系统的介绍，包括EHR外生性理论体系相关概念、主流检验方法以及进行蒙特卡罗模拟。所使用的检验方法包括弱外生性检验、强外生性检验、超外生及不变性检验和武-豪斯曼检验。本文在弥补国内对该项研究空缺的同时，也为国内的外生性研究提供可循的理论体系。
关键词： 计量经济学；外生性；EHR；外生性检验；蒙特卡罗模拟

TANG Yueyao， WANG Zengmin^*

（  School of Economy and Management, Beijing University of Posts and Telecommunications, Beijing 100876； ）

Abstract： The concept of exogeneity in econometrics has a long history. Whether a variable is exogenous depends on the parameters of interest and the purpose of a study. Based on three purposes of statistical inference, forecasting, and policy analysis, three concepts of weak, strong and super exogeneity are defined. Valid exogeneity hypothesis may simplify modeling strategies, reduce computational expense, and help isolate invariants of the economic mechanism, while invalid exogeneity hypothesis may lead to inefficient or inconsistent inference and result in misleading forecasts and policy simulations. Therefore, exogeneity has the important theoretical and practical meaning in econometric analysis. In 1983, after Engle, Hendry and Richard's redefinition of exogeneity, many western scholars devoted into this domain. As for China, there is still a lack of researches and discussions on exogeneity system and methods of testing exogeneity. This paper makes a systematic introduction to recent international researches of exogeneity, including EHR exogeneity system and interrelated concepts, mainstream methods of testing exogeneity, and the Monte Carlo simulation of these methods. The methods of exogenous test include weak exogeneity test, strong exogeneity test, super exogeneity test, and Wu-Hausman test. This paper not only makes up the vacancy of exogeneity research, but also provides a theoretical system to the exogeneity research in China.
Keywords： econometrics;exogeneity;EHR;exogenous test;the Monte Carlo simulation