Jean-Pierre Urbain

Exogeneity in Error Correction Models

• Broschiertes Buch

Produktbeschreibung

In the recent years, the study of cointegrated time seriesand the use of error correction models have become extremelypopular in the econometric literature. This book provides ananalysis of the notion of (weak) exogeneity, which isnecessary to sustain valid inference in sub-systems, intheframework of error correction models (ECMs).In many practical situations, the applied econometricianwants to introduce "structure" on his/her model in order toget economically meaningful coefficients. For thispurpose,ECMs in structural form provide an appealing framework,allowing the researcher to introduce (theoreticallymotivated) identification restrictions on the long runrelationships. In this case, the validity of the inferencewill depend on a number of conditions which are investigatedhere. In particular,we point out that orthogonality tests,often used to test for weak exogeneity or for generalmisspecification, behave poorly in finite samples and areoften not very useful in cointegrated systems.

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Produktdetails

• Lecture Notes in Economics and Mathematical Systems 398
• Verlag: Springer / Springer Berlin Heidelberg / Springer, Berlin
• Artikelnr. des Verlages: 978-3-540-56639-7
• 1993.
• Seitenzahl: 212
• Erscheinungstermin: 14. Juni 1993
• Englisch
• Abmessung: 242mm x 170mm x 12mm
• Gewicht: 371g
• ISBN-13: 9783540566397
• ISBN-10: 3540566392
• Artikelnr.: 24931673

Inhaltsangabe

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.