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, 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 Vector Error Correction Models with Purely Exogenous Long-run Paths
Title | Exogeneity in Vector Error Correction Models with Purely Exogenous Long-run Paths PDF eBook |
Author | Jacqueline Pradel |
Publisher | |
Pages | |
Release | 2002 |
Genre | |
ISBN |
On Weak Exogeneity in Error Correction Models
Title | On Weak Exogeneity in Error Correction Models PDF eBook |
Author | Jean-Pierre Urbain |
Publisher | |
Pages | 62 |
Release | 1991* |
Genre | |
ISBN |
The Lm-test for Weak Exogeneity in Error Correction Models
Title | The Lm-test for Weak Exogeneity in Error Correction Models PDF eBook |
Author | Herman Peter Boswijk |
Publisher | |
Pages | 13 |
Release | 1991 |
Genre | |
ISBN |
Testing Exogeneity
Title | Testing Exogeneity PDF eBook |
Author | Neil R. Ericsson |
Publisher | |
Pages | 436 |
Release | 1994 |
Genre | Business & Economics |
ISBN | 9780198774044 |
This book discusses the nature of exogeneity, a central concept in standard econometrics texts, and shows how to test for it through numerous substantive empirical examples from around the world, including the UK, Argentina, Denmark, Finland, and Norway. Part I defines terms and provides the necessary background; Part II contains applications to models of expenditure, money demand, inflation, wages and prices, and exchange rates; and Part III extends various tests of constancy and forecast accuracy, which are central to testing super exogeneity. About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.
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 |