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L'exogeneite dans les modeles VAR_ECM avec des sentiers de long terme purement exogenes


  • Rault, C.


Apres un rappel synthetique des differents concepts d'exogeneite dans les cadres stationnaire et non stationnaire (predetermination, exogeneite stricte, exogeneite faible, exogeneite forte, super exogeneite, exogeneite de cointegration), nous examinons les conditions d'exogeneite faible proposees par Johansen [1992] dans le cadre des modeles vectoriels a correction d'erreurs (VAR-ECM). Ces conditions interdisent l'existence de sentiers de long terme dans les equations decrivant l'evolution des variables exogenes (model marginal) et contraignent de ce fait le modele marginal a etre un VAR en difference.

Suggested Citation

  • Rault, C., 1998. "L'exogeneite dans les modeles VAR_ECM avec des sentiers de long terme purement exogenes," Papiers d'Economie Mathématique et Applications 98.20, Université Panthéon-Sorbonne (Paris 1).
  • Handle: RePEc:fth:pariem:98.20

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    JEL classification:

    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General


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