Exogeneity
In econometrics, exogeneity is an assumption about data used for statistical inference.
Contents
Meaning
Exogeneity means that all treatment and control variables are independent of the outcome variable and the error term. So an assumption of exogeneity would be violated if...
- confounding variables were omitted
- in time series models, a lagged dependent variable can be correlated to the error term
if OLS is mistakenly used on a system of equations (i.e. simultaneous equation bias)
In a mulivariate OLS regression, the assumption of exogeneity can be expressed mathematically as:
![[ATTACH]](/Statistics/Exogeneity?action=AttachFile&do=upload_form&target=exogeneity.svg&ticket=0069e2a122.86fc38d8ee15cc5d7d5ac17f08551deba9a93e06 "[ATTACH]"){kind=small}