Further Results on Weak-Exogeneity in Vector Error Correction Models
AbstractThis paper extends the result for non-causality and strong-exogeneity of Pradel and Rault (2003) Exogeneity in VAR-ECM models with purely exogenous long-run paths”, Oxford Bulletin of Economics and Statistics to weak-exogeneity. More precisely, it 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 χ2 variables and can therefore easily be calculated with usual statistical computer packages, which makes our approach fully operational empirically.
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Bibliographic InfoPaper provided by Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne in its series Documents de recherche with number 05-12.
Length: 16 pages
Date of creation: 2005
Date of revision:
Other versions of this item:
- Christophe Rault, 2004. "Further results on weak-exogeneity in vector error correction models," Econometric Society 2004 Far Eastern Meetings 402, Econometric Society.
- 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
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