Exogeneity in Error Correction Models:
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 framew...
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg
Springer Berlin Heidelberg
1993
|
| Edition: | 1st ed. 1993 |
| Series: | Lecture Notes in Economics and Mathematical Systems
398 |
| Subjects: | |
| Online Access: | BTU01 Volltext |
| Summary: | 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 |
| Physical Description: | 1 Online-Ressource (XI, 189 p) |
| ISBN: | 9783642957062 |
| DOI: | 10.1007/978-3-642-95706-2 |
Staff View
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T15:15:37Z |
| indexdate | 2024-07-10T08:56:09Z |
| institution | BVB |
| isbn | 9783642957062 |
| language | English |
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| physical | 1 Online-Ressource (XI, 189 p) |
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| publisher | Springer Berlin Heidelberg |
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| series2 | Lecture Notes in Economics and Mathematical Systems |
| spelling | Urbain, Jean-Pierre Verfasser aut Exogeneity in Error Correction Models by Jean-Pierre Urbain 1st ed. 1993 Berlin, Heidelberg Springer Berlin Heidelberg 1993 1 Online-Ressource (XI, 189 p) txt rdacontent c rdamedia cr rdacarrier Lecture Notes in Economics and Mathematical Systems 398 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 Economic Theory/Quantitative Economics/Mathematical Methods Economic theory Fehlertheorie (DE-588)4474146-7 gnd rswk-swf Fehlerkorrekturmodell (DE-588)4233048-8 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Fehlerkorrekturmodell (DE-588)4233048-8 s DE-604 Fehlertheorie (DE-588)4474146-7 s Zeitreihenanalyse (DE-588)4067486-1 s Erscheint auch als Druck-Ausgabe 9783540566397 Erscheint auch als Druck-Ausgabe 9783642957079 https://doi.org/10.1007/978-3-642-95706-2 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Urbain, Jean-Pierre Exogeneity in Error Correction Models Economic Theory/Quantitative Economics/Mathematical Methods Economic theory Fehlertheorie (DE-588)4474146-7 gnd Fehlerkorrekturmodell (DE-588)4233048-8 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| subject_GND | (DE-588)4474146-7 (DE-588)4233048-8 (DE-588)4067486-1 |
| title | Exogeneity in Error Correction Models |
| title_auth | Exogeneity in Error Correction Models |
| title_exact_search | Exogeneity in Error Correction Models |
| title_exact_search_txtP | Exogeneity in Error Correction Models |
| title_full | Exogeneity in Error Correction Models by Jean-Pierre Urbain |
| title_fullStr | Exogeneity in Error Correction Models by Jean-Pierre Urbain |
| title_full_unstemmed | Exogeneity in Error Correction Models by Jean-Pierre Urbain |
| title_short | Exogeneity in Error Correction Models |
| title_sort | exogeneity in error correction models |
| topic | Economic Theory/Quantitative Economics/Mathematical Methods Economic theory Fehlertheorie (DE-588)4474146-7 gnd Fehlerkorrekturmodell (DE-588)4233048-8 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | Economic Theory/Quantitative Economics/Mathematical Methods Economic theory Fehlertheorie Fehlerkorrekturmodell Zeitreihenanalyse |
| url | https://doi.org/10.1007/978-3-642-95706-2 |
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