Weak exogeneity in partially nonstationary models
This paper is dedicated to analysing the conditions for weak exogeneity in partially nonstationary models. After adopting a particular identification regime which is based on a triangularization of the parameters of the cointegration relations, we show that the conditions for weak exogeneity developed in the literature can be stated in terms of the parameters of the so-called structural form. This alternative presentation of the conditions permits new interpretations and provides fresh insights on how to test the exogeneity hypothesis.
Volume (Year): 4 (2002)
Issue (Month): 2 ()
|Contact details of provider:|| Postal: |
Phone: +34 94 6013783
Fax: + 34 94 6013774
Web page: http://link.springer.de/link/service/journals/10108/index.htm
More information through EDIRC
|Order Information:||Web: http://link.springer.de/orders.htm|
When requesting a correction, please mention this item's handle: RePEc:spr:specre:v:4:y:2002:i:2:p:139-150. See general 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: (Guenther Eichhorn)or (Christopher F Baum)
If references are entirely missing, you can add them using this form.