[An eight equation dynamic model of aggregate demand in the United Kingdom is estimated by a variety of methods which make different assumptions about, and provide different treatments of, the problems of simultaneity and serial correlation, the latter being both within and between equations. Although the system appears to perform quite well on conventional criteria, the alternative estimators reveal a number of misspecifications and demonstrate the sensitivity of the results to estimators choice. The paper also considers the methodological problems involved in estimating dynamic simultaneous equation models with possibly auto-correlated errors using seasonally unadjusted quarterly data.]

[The finite sample behavior in a dynamic, simultaneous system of least squares and instrumental variables estimators which allow for autoregressive errors is studied by control variable (CV) simulation. To increase simulation precision, the CV's are based on asymptotic approximations to the econometric estimators and so have the same asymptotic distributions, but known finite sample moments. The CV formulae also clarify the properties of the econometric techniques and combined with response surfaces, reduce the specificity of simulation findings. The results confirm the value of asymptotic theory and show that the autoregressive instrumental variables estimator provides a reasonable approach to the simultaneity-autocorrelation-dynamics interaction.]

[Definitions are proposed for weak and strong exogeneity in terms of the distribution of observable variables. The objectives of the paper are to clarify the concepts involved, isolate the essential requirements for a variable to be exogenous, and relate them to notions of predeterminedness, strict exogeneity and causality in order to facilitate econometric modelling. Worlds of parameter change are considered and exogeneity is related to structural invariance leading to a definition of super exogeneity. Throughout the paper, illustrative models are used to exposit the analysis.]