Cointegration, Identification, and Exogeneity
Title | Cointegration, Identification, and Exogeneity PDF eBook |
Author | H. Peter Boswijk |
Publisher | |
Pages | 166 |
Release | 1992 |
Genre | Cointegration |
ISBN | 9789051701760 |
Exogeneity in Error Correction Models
Title | Exogeneity in Error Correction Models PDF eBook |
Author | Jean-Pierre Urbain |
Publisher | Springer Science & Business Media |
Pages | 201 |
Release | 2012-12-06 |
Genre | Business & Economics |
ISBN | 3642957064 |
In the recent years, the study of cointegrated time series and the use of error correction models have become extremely popular in the econometric literature. This book provides an analysis of the notion of (weak) exogeneity, which is necessary to sustain valid inference in sub-systems, inthe framework of error correction models (ECMs). In many practical situations, the applied econometrician wants to introduce "structure" on his/her model in order to get economically meaningful coefficients. For thispurpose, ECMs in structural form provide an appealing framework, allowing the researcher to introduce (theoretically motivated) identification restrictions on the long run relationships. In this case, the validity of the inference will depend on a number of conditions which are investigated here. In particular,we point out that orthogonality tests, often used to test for weak exogeneity or for general misspecification, behave poorly in finite samples and are often not very useful in cointegrated systems.
Cointegration
Title | Cointegration PDF eBook |
Author | Bhaskara B. Rao |
Publisher | Springer |
Pages | 247 |
Release | 2016-07-27 |
Genre | Business & Economics |
ISBN | 1349235296 |
`This most commendable volume brings together a set of papers which permits ready access to the means of estimating quantitative relationships using cointegration and error correction procedures. Providing the data to show fully the basis for calculation, this approach is an excellent perception of the needs of senior undergraduates and graduate students.' - Professor W.P. Hogan, The University of Sydney Applied economists, with modest econometric background, are now desperately looking for expository literature on the unit roots and cointegration techniques. This volume of expository essays is written for them. It explains in a simple style various tests for the existence of unit roots and how to estimate cointegration relationships. Original data are given to enable easy replications. Limitations of some existing unit root tests are also discussed.
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 |
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 |
Using Cointegration Analysis in Econometric Modelling
Title | Using Cointegration Analysis in Econometric Modelling PDF eBook |
Author | Richard I. D. Harris |
Publisher | Prentice Hall |
Pages | 176 |
Release | 1995 |
Genre | Business & Economics |
ISBN | 9780133558920 |
Cointegration has become an essential tool for applied economists wanting to estimate time series models. Without some form of testing for cointegration, non-stationary variables can lead to spurious regressions; this book introduces the student and practitioner to (co)integration testing and techniques at a very moderate technical level. The book's aim is a practical one: testing for (co)integration is explained thoroughly and with plenty of examples and there is an emphasis throughout on explaining how these tests are actually performed. Key Features: 'toolkit' approach with an emphasis on practice and the actual tests used, covers the Engle-Granger procedure, covers the Johansen technique, overview of structural VAR modelling, advanced and difficult concepts presented in technical boxes, thus preserving the flow of exposition, and boxed examples throughout. Though the material is presented non-technically, the reader will find that the book covers in detail those techniques that are now becoming standard in the literature. Readers are also taken through examples using relevant software such as PcFiml and Cats (in Rats).
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 |