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 framew...
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| Format: | eBook |
| Language: | English |
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Berlin, Heidelberg
Springer Berlin Heidelberg
1993, 1993
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| Edition: | 1st ed. 1993 |
| Series: | Lecture Notes in Economics and Mathematical Systems
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| Subjects: | |
| Online Access: | |
| Collection: | Springer Book Archives -2004 - Collection details see MPG.ReNa |
Table of Contents:
- 1 Introduction and Summary
- 2 Cointegrated Systems
- 2.1 Some Historical Background to the Modelling of Economic Time Series
- 2.2 Integration and Cointegration
- 2.3 The Modelling of Cointegrated Systems
- 2.4 Cointegration and Conditional Sub-systems
- 2.5 Error Correction Models
- 2.6 Conclusions
- 3 Weak Exogeneity in ECMs
- 3.1 Weak Exogeneity
- 3.2 Reduced Form Error Correction Models
- 3.3 ECMs in Structural Form
- 3.4 Inference on Weak Exogeneity in ECMs
- 3.5 Empirical Illustration
- 3.6 Conclusions
- 4 Testing for Weak Exogeneity
- 4.1 Introduction
- 4.2 Exogeneity and the Incomplete SEM
- 4.3 The Behaviour of Orthogonality Tests in the Presence of (Co)-Integrated Variables
- 4.4 Testing for Weak Exogeneity in ECMs where the Short Run Dynamic Parameters are Parameters of Interest
- 4.5 Conclusions
- 5 Empirical Analysis: The Case of Aggregate Imports
- 5.1 Background
- 5.2 System versus Partial Approach to the Modelling of Belgium Aggregate Imports
- 5.3 Conclusions
- 6 Conclusions
- Author Index