Exogeneity in Error Correction Models (Lecture Notes in Economics and Mathematical Systems): 398 - Tapa blanda

Urbain, Jean-Pierre

 
9783540566397: Exogeneity in Error Correction Models (Lecture Notes in Economics and Mathematical Systems): 398
Tapa blanda
ISBN 10: 3540566392 ISBN 13: 9783540566397
Editorial: Springer, 1993

Sinopsis

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.

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Reseña del editor

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.

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Editorial
Springer
Año de publicación
1993
Idioma
Inglés
ISBN 10 
3540566392
ISBN 13 
9783540566397
Encuadernación
Tapa blanda
Número de páginas
212
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Heidelberg
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Alemania

Otras ediciones populares con el mismo título

9780387566399: Exogeneity in Error Correction Models (Lecture Notes in Economics & Mathematical Systems)

Edición Destacada

ISBN 10:  0387566392 ISBN 13:  9780387566399
Editorial: Springer Verlag, 1993
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