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Weak exogeneity and dynamic stability in cointegrated VARs

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  • Fischer, Andreas M.

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  • Fischer, Andreas M., 1993. "Weak exogeneity and dynamic stability in cointegrated VARs," Economics Letters, Elsevier, vol. 43(2), pages 167-170.
    • Handle: RePEc:eee:ecolet:v:43:y:1993:i:2:p:167-170
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    Cited by:

    1. Phillips, Peter C.B. & Magdalinos, Tassos, 2013. "Inconsistent Var Regression With Common Explosive Roots," Econometric Theory, Cambridge University Press, vol. 29(4), pages 808-837, August.
    2. Inoue,Tomoo & Kaya,Demet & Ohshige,Hitoshi, 2015. "The impact of China?s slowdown on the Asia Pacific region : an application of the GVAR model," Policy Research Working Paper Series 7442, The World Bank.
    3. White, Halbert & Pettenuzzo, Davide, 2014. "Granger causality, exogeneity, cointegration, and economic policy analysis," Journal of Econometrics, Elsevier, vol. 178(P2), pages 316-330.
    4. Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers 63, Brandeis University, Department of Economics and International Business School, revised Sep 2013.

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