Cointegration, identification and exogeneity: inference in structural error correction models
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | Undetermined |
| Published: |
1992
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| Series: | Tinbergen Instituut <Amsterdam; Rotterdam>: Tinbergen Institute research series
37 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Amsterdam, Univ., Diss., 1992 |
| Physical Description: | XI, 166 S. graph. Darst. |
Staff View
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Record in the Search Index
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| adam_text | CONTENTS
List of tables x
List of figures xi
1 Introduction 1
1.1 Introduction and motivation 1
1.2 Outline 4
2 Unit roots and cointegration 7
2.1 Introduction 7
2.2 Stationary time series 7
2.2.1 Univariate time series 7
2.2.2 Multivariate time series 10
2.3 Unit roots 12
2.3.1 Definitions and representations 12
2.3.2 Testing for a unit root 16
2.4 Error correction and cointegration 23
2.4.1 Definitions and representations 23
2.4.2 Inference in cointegrating regressions 28
2.4.3 Inference in vector autoregressions 32
2.5 The empirical analysis 36
2.6 Discussion 45
Appendix 2.A Lag polynomials 47
Appendix 2.B Weak convergence 51
3 Structural error correction models 55
3.1 Introduction 55
3.2 Conditional error correction models 56
3.3 Identification and the structural form 58
3.4 Stability 63
3.5 Exogeneity 66
3.6 The empirical analysis 69
3.7 Discussion 72
viii Contents
4 Testing for stability 75
4.1 Introduction 75
4.2 The model and assumptions 75
4.3 The test statistics 77
4.4 Asymptotic properties 82
4.5 The empirical analysis 86
4.6 Discussion 87
Appendix 4. A Proofs 90
Appendix 4.B Critical values 95
5 Testing for weak exogeneity 99
5.1 Introduction 99
5.2 The model and assumptions 100
5.3 The test statistics 102
5.3.1 The LM statistic 102
5.3.2 The LR statistic for a block recursive structure 107
5.4 The empirical analysis 108
5.5 Discussion 112
6 Inference on cointegration parameters 113
6.1 Introduction 113
6.2 The model and assumptions 114
6.3 The estimators and test statistics 116
6.3.1 Conditional model estimation 116
6.3.2 Full system estimation 119
6.4 Asymptotic properties 122
6.5 A Monte Carlo study 125
6.6 The empirical analysis 132
6.7 Discussion 138
Appendix 6.A Proofs 140
7 Summary and conclusions 147
References 151
Contents ix
Samenvatting (Summary in Dutch) 159
Subject index 163
Author index 165
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| id | DE-604.BV006614693 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T16:49:17Z |
| institution | BVB |
| language | Undetermined |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-004226876 |
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| physical | XI, 166 S. graph. Darst. |
| publishDate | 1992 |
| publishDateSearch | 1992 |
| publishDateSort | 1992 |
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| series | Tinbergen Instituut <Amsterdam; Rotterdam>: Tinbergen Institute research series |
| series2 | Tinbergen Instituut <Amsterdam; Rotterdam>: Tinbergen Institute research series |
| spelling | Boswijk, Herman Peter Verfasser (DE-588)155090208 aut Cointegration, identification and exogeneity inference in structural error correction models door Herman Peter Boswijk 1992 XI, 166 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Tinbergen Instituut <Amsterdam; Rotterdam>: Tinbergen Institute research series 37 Amsterdam, Univ., Diss., 1992 Fehlerkorrekturmodell (DE-588)4233048-8 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Ökonometrie (DE-588)4132280-0 s Fehlerkorrekturmodell (DE-588)4233048-8 s DE-604 Tinbergen Instituut <Amsterdam; Rotterdam>: Tinbergen Institute research series 37 (DE-604)BV004252095 37 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=004226876&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Boswijk, Herman Peter Cointegration, identification and exogeneity inference in structural error correction models Tinbergen Instituut <Amsterdam; Rotterdam>: Tinbergen Institute research series Fehlerkorrekturmodell (DE-588)4233048-8 gnd Ökonometrie (DE-588)4132280-0 gnd |
| subject_GND | (DE-588)4233048-8 (DE-588)4132280-0 (DE-588)4113937-9 |
| title | Cointegration, identification and exogeneity inference in structural error correction models |
| title_auth | Cointegration, identification and exogeneity inference in structural error correction models |
| title_exact_search | Cointegration, identification and exogeneity inference in structural error correction models |
| title_full | Cointegration, identification and exogeneity inference in structural error correction models door Herman Peter Boswijk |
| title_fullStr | Cointegration, identification and exogeneity inference in structural error correction models door Herman Peter Boswijk |
| title_full_unstemmed | Cointegration, identification and exogeneity inference in structural error correction models door Herman Peter Boswijk |
| title_short | Cointegration, identification and exogeneity |
| title_sort | cointegration identification and exogeneity inference in structural error correction models |
| title_sub | inference in structural error correction models |
| topic | Fehlerkorrekturmodell (DE-588)4233048-8 gnd Ökonometrie (DE-588)4132280-0 gnd |
| topic_facet | Fehlerkorrekturmodell Ökonometrie Hochschulschrift |
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| work_keys_str_mv | AT boswijkhermanpeter cointegrationidentificationandexogeneityinferenceinstructuralerrorcorrectionmodels |