Cointegration, Exogeneity, and Policy Analysis
Title | Cointegration, Exogeneity, and Policy Analysis PDF eBook |
Author | Neil R. Ericsson |
Publisher | |
Pages | 44 |
Release | 1991 |
Genre | Econometrics |
ISBN |
Exogeneity, Cointegration, and Economic Policy Analysis
Title | Exogeneity, Cointegration, and Economic Policy Analysis PDF eBook |
Author | Neil R. Ericsson |
Publisher | |
Pages | 52 |
Release | 1998 |
Genre | Cointegration |
ISBN |
Special Section on Exogeneity, Cointegration, and Economic Policy Analysis
Title | Special Section on Exogeneity, Cointegration, and Economic Policy Analysis PDF eBook |
Author | Neil R. Ericsson |
Publisher | |
Pages | 0 |
Release | 1998 |
Genre | |
ISBN |
Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis
Title | Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis PDF eBook |
Author | Davide Pettenuzzo |
Publisher | |
Pages | |
Release | 2010 |
Genre | |
ISBN |
Cointegration, exogeneity, and policy analyis
Title | Cointegration, exogeneity, and policy analyis PDF eBook |
Author | Neil R. Ericsson |
Publisher | |
Pages | 2 |
Release | 1992 |
Genre | |
ISBN |
Exogeneity, Causality, and Co-breaking in Economic Policy Analysis of a Small Econometric Model of Money in the UK
Title | Exogeneity, Causality, and Co-breaking in Economic Policy Analysis of a Small Econometric Model of Money in the UK PDF eBook |
Author | David F. Hendry |
Publisher | |
Pages | 294 |
Release | 1998 |
Genre | Cointegration |
ISBN |
Testing Weak Exogeneity in Cointegrated Panels
Title | Testing Weak Exogeneity in Cointegrated Panels PDF eBook |
Author | Enrique Moral-Benito |
Publisher | |
Pages | 23 |
Release | 2017 |
Genre | |
ISBN |
For reason of empirical tractability, analysis of cointegrated economic time series is often developed in a partial setting, in which a subset of variables is explicitly modeled conditional on the rest. This approach yields valid inference only if the conditioning variables are weakly exogenous for the parameters of interest. This paper proposes a new test of weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first letting the time dimension of the panel go to infinity and then letting its cross-sectional dimension go to infinity.The paper evaluates the accuracy of the asymptotic approximation in finite samples via simulation experiments. Finally, as an empirical illustration, the paper reports tests of weak exogeneity of disposable income and wealth in an aggregate consumption equation.