Exogeneity in Error Correction Models Jean-Pierre Urbain

ISBN: 9780387566399

Published: July 1st 1993

Paperback

200 pages


Description

Exogeneity in Error Correction Models  by  Jean-Pierre Urbain

Exogeneity in Error Correction Models by Jean-Pierre Urbain
July 1st 1993 | Paperback | PDF, EPUB, FB2, DjVu, talking book, mp3, RTF | 200 pages | ISBN: 9780387566399 | 7.56 Mb

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 toMoreIn 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.



Enter the sum





Related Archive Books



Related Books


Comments

Comments for "Exogeneity in Error Correction Models":


aguspolska.pl

©2012-2015 | DMCA | Contact us