Titlebook: Exogeneity in Error Correction Models; Jean-Pierre Urbain Book 1993 Springer-Verlag Berlin Heidelberg 1993 Kointegration.Simulation.cointe

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Future Orientation: A Conceptual Framework,ain useful if the model used in empirical analysis is a structural error correction model, if the parameters of interest include both short and long run coefficients and . the cointegrating vector is known to be absent from the marginal models.

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Exogeneity in Error Correction Models978-3-642-95706-2Series ISSN 0075-8442 Series E-ISSN 2196-9957

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International Political Economy Seriest forward arguments for and against the modelling of cointegration relationships based on closed models or on conditional sub-systems. The structure of the chapter is as follows. We first clarify the basic notation that is used in this chapter. As the focus on the nonstationary properties of economi

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AI-Based Network and Service Management,ointegrated systems. Both have advantages and defects. Conditional sub-systems, in particular, necessitate exogeneity assumptions which, if not fulfilled, may induce loss of efficiency and consistency -as in the usual stationary framework- but in the case of cointegrated systems also imply a loss of

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Future Orientation: A Conceptual Framework,conditioning variables. In particular, Johansen (1992a) and Boswijk (1991b) have proposed to test the hypothesis of weak exogeneity w.r.t. the long run parameters but do not consider any orthogonality conditions since the fact that an explanatory variable is error correcting is sufficient to reject