Exogeneity in Error Correction Models (Lecture Notes in Economics and Mathematical Systems) - Couverture souple

Urbain, Jean-Pierre

 
9783540566397: Exogeneity in Error Correction Models (Lecture Notes in Economics and Mathematical Systems)
Couverture souple
ISBN 10 : 3540566392 ISBN 13 : 9783540566397
Editeur : Springer, 1993

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

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.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Springer
Date d'édition
1993
Langue
anglais
ISBN 10 
3540566392
ISBN 13 
9783540566397
Reliure
Broché
Nombre de pages
212
Coordonnées du fabricant
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Europaplatz 3
Heidelberg
69115
Allemagne

Autres éditions populaires du même titre

9780387566399: Exogeneity in Error Correction Models

Edition présentée

ISBN 10 :  0387566392 ISBN 13 :  9780387566399
Editeur : Springer Verlag, 1993
Couverture souple