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Cointegration, exogeneity, and policy analysis: An overview

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  • Ericsson, Neil R.

Abstract

This overview describes the concepts of cointegration and exogeneity, focusing on analytical structure, statistical inference, and implications for policy analysis. Examples help clarify the concepts. The remainder of the overview summarizes the articles in a special issue of the Journal of Policy Modeling entitled Cointegration, Exogeneity, and Policy Analysis.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Policy Modeling.

Volume (Year): 14 (1992)
Issue (Month): 3 (June)
Pages: 251-280

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Handle: RePEc:eee:jpolmo:v:14:y:1992:i:3:p:251-280

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Web page: http://www.elsevier.com/locate/inca/505735

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  22. David F. Hendry & Neil R. Ericsson, 1989. "An econometric analysis of UK money demand in MONETARY TRENDS IN THE UNITED STATES AND THE UNITED KINGDOM by Milton Friedman and Anna J. Schwartz," International Finance Discussion Papers 355, Board of Governors of the Federal Reserve System (U.S.).
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  30. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
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  33. Cooley, Thomas F & LeRoy, Stephen F, 1981. "Identification and Estimation of Money Demand," American Economic Review, American Economic Association, vol. 71(5), pages 825-44, December.
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