Exogeneity in Error Correction Models (Paperback, Softcover reprint of the original 1st ed. 1993)

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.

General

Imprint:	Springer-Verlag
Country of origin:	Germany
Series:	Lecture Notes in Economics and Mathematical Systems, 398
Release date:	June 1993
First published:	1993
Authors:	Jean-Pierre Urbain
Dimensions:	242 x 170 x 11mm (L x W x T)
Format:	Paperback
Pages:	189
Edition:	Softcover reprint of the original 1st ed. 1993
ISBN-13:	978-3-540-56639-7
Categories:	Books > Business & Economics > Economics > Economic theory & philosophy Books > Business & Economics > Economics > Econometrics > General Promotions
LSN:	3-540-56639-2
Barcode:	9783540566397

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