Further results on weak-exogeneity in vector error correction models
AbstractThis paper provides a necessary and sufficient condition for weak exogeneity in vector error correction models. An interesting property is that the statistics involved in the sequential procedure for testing this condition are distributed as ?ariables and can therefore easily be calculated with usual statistical computer packages, which makes our approach fully operational empirically. Finally, the power and size distortions of this sequential test procedure are analysed with Monte-Carlo simulations
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Bibliographic InfoPaper provided by Econometric Society in its series Econometric Society 2004 Far Eastern Meetings with number 402.
Date of creation: 11 Aug 2004
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Cointegration; canonical representation; weak-exogeneity; power; size distortions.;
Other versions of this item:
- Christophe Rault, 2005. "Further Results on Weak-Exogeneity in Vector Error Correction Models," Documents de recherche 05-12, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-10-30 (All new papers)
- NEP-ECM-2004-10-30 (Econometrics)
- NEP-ETS-2004-10-30 (Econometric Time Series)
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