| 书目名称 | Exogeneity in Error Correction Models | | 编辑 | Jean-Pierre Urbain | | 视频video | | | 丛书名称 | Lecture Notes in Economics and Mathematical Systems | | 图书封面 |  | | 描述 | In the recent years, the study of cointegrated time seriesand the use of error correction models have become extremelypopular in the econometricliterature. 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 practicalsituations, the applied econometricianwants to introduce "structure" onhis/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 weakexogeneity or for generalmisspecification, behave poorly in finite samples and areoften not very useful in cointegrated systems. | | 出版日期 | Book 1993 | | 关键词 | Kointegration; Simulation; cointegration; econometrics; error correction; integration; modeling; orthogonal | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-642-95706-2 | | isbn_softcover | 978-3-540-56639-7 | | isbn_ebook | 978-3-642-95706-2Series ISSN 0075-8442 Series E-ISSN 2196-9957 | | issn_series | 0075-8442 | | copyright | Springer-Verlag Berlin Heidelberg 1993 |
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发表于 2025-3-21 19:36:41
