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Exogeneity in Error Correction Models

  • Book
  • © 1993

Overview

Authors:
  1. Jean-Pierre Urbain

    1. Department of Quantitative Economics, University of Limburg, MD Maastricht, The Netherlands

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Part of the book series: Lecture Notes in Economics and Mathematical Systems (LNE, volume 398)

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Table of contents (6 chapters)

  1. Front Matter

    Pages I-XI
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  2. Introduction and Summary

    • Jean-Pierre Urbain
    Pages 1-5

  3. Cointegrated Systems

    • Jean-Pierre Urbain
    Pages 7-41

  4. Weak Exogeneity in Error Correction Models

    • Jean-Pierre Urbain
    Pages 43-81

  5. Testing for Weak Exogeneity in Error Correction Models

    • Jean-Pierre Urbain
    Pages 83-111

  6. Empirical Analysis: The Case of Aggregate Imports

    • Jean-Pierre Urbain
    Pages 113-160

  7. Conclusions

    • Jean-Pierre Urbain
    Pages 161-164

  8. Back Matter

    Pages 165-196
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Keywords

About this book

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.

Authors and Affiliations

  • Department of Quantitative Economics, University of Limburg, MD Maastricht, The Netherlands

    Jean-Pierre Urbain

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