On Weak Exogeneity in Error Correction Models
AbstractIn this paper, the author discusses the appropriateness of treating explanatory variables of a single-equation error correction model as being weakly exogenous. He restates the derivation of the error correction model, and particularly the single-equation conditional error correction model, both in reduced and structural form. These allow the author to point out that the condition of weak endogeneity implicitly tested by usual orthogonality tests is generally not sufficient for single-equation conditional error correction models. The potential pitfalls of working within incomplete simultaneous dynamic equation models for exogeneity tests are also pointed out. The author illustrates this on some empirical studies. Copyright 1992 by Blackwell Publishing Ltd
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Liege - Centre de Recherches Economiques et Demographiques in its series Papers with number 9103.
Length: 31 pages
Date of creation: 1991
Date of revision:
Contact details of provider:
Postal: UNIVERSITE DE LIEGE, CENTRE DE RECHERCHES ECONOMIQUES ET DEMOGRAPHIQUES DE LIEGE, 7 BLVD DU RECTORAT 4000 LIEGE BELGIQUE.
Phone: + 32 (0) 4 366 31 08
Fax: + 32 (0) 4 366 31 06
Web page: http://www.ulg.ac.be/crepp/
More information through EDIRC
econometrics ; statistical analysis ; economic models;
Other versions of this item:
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel).
If references are entirely missing, you can add them using this form.