Exogeneity in Error Correction Models
Springer Berlin (Verlag)
978-3-540-56639-7 (ISBN)
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.
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.
Erscheint lt. Verlag | 14.6.1993 |
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Reihe/Serie | Lecture Notes in Economics and Mathematical Systems |
Zusatzinfo | XI, 189 p. |
Verlagsort | Berlin |
Sprache | englisch |
Maße | 170 x 242 mm |
Gewicht | 371 g |
Themenwelt | Wirtschaft ► Allgemeines / Lexika |
Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie | |
Schlagworte | Cointegration • Econometrics • error correction • Integration • Kointegration • Modeling • Ökonometrie • orthogonality • Simulation • Time Series • weak exogeneity |
ISBN-10 | 3-540-56639-2 / 3540566392 |
ISBN-13 | 978-3-540-56639-7 / 9783540566397 |
Zustand | Neuware |
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