A Bayesian Analysis of Exogeneity in Models with Latent Variables
AbstractThis paper presents some new results on exogeneity in models with latent variables. The concept of exogeneity is extended to the class of models with latent variables, in which a subset of parameters and latent variables is of interest. Exogeneity is discussed from the Bayesian point of view. We propose sufficient weak and strong exogeneity conditions in the vector error correction model (VECM) with stochastic volatility (SV) disturbances. Finally, an empirical illustration based on the VECM-SV model for the daily growth rates of two main official Polish exchange rates: USD/PLN and EUR/PLN, as well as EUR/USD from the international Forex market is presented. The exogeneity of the EUR/USD rate is examined. The strong exogeneity hypothesis of the EUR/USD rate is not rejected by the data.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by CEJEME in its journal Central European Journal of Economic Modelling and Econometrics.
Volume (Year): 3 (2011)
Issue (Month): 2 (June)
Contact details of provider:
Web page: http://cejeme.org/
exogeneity; Bayesian cuts; latent variables; non-causality; stochastic volatility;
Find related papers by JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hendry, David F. & Richard, Jean-Francois, 1982. "On the formulation of empirical models in dynamic econometrics," Journal of Econometrics, Elsevier, vol. 20(1), pages 3-33, October.
- Ericsson, Neil R & Hendry, David F & Mizon, Grayham E, 1998.
"Exogeneity, Cointegration, and Economic Policy Analysis,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 16(4), pages 370-87, October.
- Neil R. Ericsson & David F. Hendry & Grayham E. Mizon, 1998. "Exogeneity, cointegration, and economic policy analysis," International Finance Discussion Papers 616, Board of Governors of the Federal Reserve System (U.S.).
- Christophe Rault, 2011. "Long-run strong-exogeneity," Economics Bulletin, AccessEcon, vol. 31(1), pages 1-8.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
- Osiewalski, J. & Steel, M.F.J., 1989.
"A Bayesian Analysis Of Exogeneity In Models Pooling Time- Series And Cross -Section Data,"
8914, Tilburg - Center for Economic Research.
- Osiewalski, J. & Steel, M.F.J., 1989. "A Bayesian analysis of exogeneity in models pooling time-series and cross-section data," Discussion Paper 1989-14, Tilburg University, Center for Economic Research.
- de Luna, Xavier & Johansson, Per, 2006. "Exogeneity in structural equation models," Journal of Econometrics, Elsevier, vol. 132(2), pages 527-543, June.
- Tomasz Wozniak, 2012.
"Testing Causality Between Two Vectors in Multivariate GARCH Models,"
Economics Working Papers
ECO2012/20, European University Institute.
- Tomasz Wozniak, 2012. "Testing Causality Between Two Vectors in Multivariate GARCH Models," Department of Economics - Working Papers Series 1139, The University of Melbourne.
- Krzysztof Osiewalski & Jacek Osiewalski, 2013. "A Long-Run Relationship between Daily Prices on Two Markets: The Bayesian VAR(2)–MSF-SBEKK Model," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 5(1), pages 65-83, March.
- Tomasz Wozniak, 2012. "Granger-causal analysis of VARMA-GARCH models," Economics Working Papers ECO2012/19, European University Institute.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Krzysztof Osiewalski).
If references are entirely missing, you can add them using this form.