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Further Results on Week-Exogeneity in Vector Error Correction Models

Author

Listed:
  • Christophe Rault

    (LEO - Laboratoire d'Économie d'Orleans [2004-2007] - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique)

Abstract

This paper extends the result for non-causality and strong exogeneity of Pradel and Rault and Pradel (2003) Exogeneity in VAR-ECM models with purely exogenous long-run paths, Oxford Bulletin of Economics and Statistics to weak exogeneity. More precisely, it 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 χ2 variables and can therefore be easily calculated with usual statistical computer packages, which makes our approach fully operational empirically
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Christophe Rault, 2007. "Further Results on Week-Exogeneity in Vector Error Correction Models," Post-Print halshs-00202833, HAL.
    • Handle: RePEc:hal:journl:halshs-00202833
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    1. is not listed on IDEAS
    2. Christophe Rault, 2007. "Une synthèse de l'exogénéité dans les modèles vectoriels à correction d'erreurs," Post-Print halshs-00202651, HAL.
    3. Imed Drine & Christophe Rault, 2007. "Fluctuations de Change et Performances Economiques," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 50(4), pages 427-444.
    4. Allegret, Jean-Pierre & Sallenave, Audrey, 2014. "The impact of real exchange rates adjustments on global imbalances: A multilateral approach," Economic Modelling, Elsevier, vol. 37(C), pages 149-163.

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    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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