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Further results on weak-exogeneity in vector error correction models

  • Christophe Rault

This 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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Paper provided by Econometric Society in its series Econometric Society 2004 Far Eastern Meetings with number 402.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:feam04:402
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  1. Rault, Christophe, 2000. "Non-causality in VAR-ECM models with purely exogeneous long-run paths," Economics Letters, Elsevier, vol. 67(2), pages 121-129, May.
  2. Johansen, Soren, 1992. "Cointegration in partial systems and the efficiency of single-equation analysis," Journal of Econometrics, Elsevier, vol. 52(3), pages 389-402, June.
  3. Jacqueline Pradel & Christophe Rault, 2003. "Exogeneity in Vector Error Correction Models with Purely Exogenous Long-Run Paths," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(5), pages 629-653, December.
  4. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
  5. Urbain, Jean-Pierre, 1995. "Partial versus full system modelling of cointegrated systems an empirical illustration," Journal of Econometrics, Elsevier, vol. 69(1), pages 177-210, September.
  6. Engle, Robert F & Hendry, David F & Richard, Jean-Francois, 1983. "Exogeneity," Econometrica, Econometric Society, vol. 51(2), pages 277-304, March.
  7. Richard, J-F, 1980. "Models with Several Regimes and Changes in Exogeneity," Review of Economic Studies, Wiley Blackwell, vol. 47(1), pages 1-20, January.
  8. Urbain, J-P., 1991. "On Weak Exogeneity in Error Correction Models," Papers 9103, Liege - Centre de Recherches Economiques et Demographiques.
  9. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  10. Hendry, D.F. & Mizon, G.E., 1990. "Evaluating Dynamic Econometric Models By Encompassing The Var," Economics Series Working Papers 99102, University of Oxford, Department of Economics.
  11. Ericsson, Neil R., 1995. "Conditional and structural error correction models," Journal of Econometrics, Elsevier, vol. 69(1), pages 159-171, September.
  12. BAUWENS, Luc & LUBRANO , Michel, 1994. "Identification Restrictions and Posterior Densities in Cointegrated Gaussian VAR Systems," CORE Discussion Papers 1994018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  13. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  14. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, March.
  15. Ericsson, Neil R & Hendry, David F & Mizon, Grayham E, 1998. "Exogeneity, Cointegration, and Economic Policy Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 370-87, October.
  16. Stephen G. Hall & Jennifer V. Greenslade & S. G. Brian Henry, 1999. "On the Identification of Cointegrated Systems in Small Samples: Practical Procedures with an Application to UK Wages and Prices," Computing in Economics and Finance 1999 643, Society for Computational Economics.
  17. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002. "Separation, Weak Exogeneity and P-T Decomposition in Cointegrated VAR Systems with Common Features," CESifo Working Paper Series 660, CESifo Group Munich.
  18. Boswijk, H. Peter, 1995. "Efficient inference on cointegration parameters in structural error correction models," Journal of Econometrics, Elsevier, vol. 69(1), pages 133-158, September.
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