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portada exogeneity in error correction models
Type
Physical Book
Author
Publisher
Year
1993
Language
English
Pages
189
Format
Paperback
Dimensions
24.4 x 17.0 x 1.1 cm
Weight
0.35 kg.
ISBN
3540566392
ISBN13
9783540566397
Categories

exogeneity in error correction models

Jean-Pierre Urbain (Author) · Springer · Paperback

exogeneity in error correction models - Urbain, Jean-Pierre

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Synopsis "exogeneity in error correction models"

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.

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