Further Results on Weak Exogeneity in Vector Error Correction Models
Further Results on Weak Exogeneity in Vector Error Correction Models
| dc.creator | Rault, Christophe | |
| dc.date | 2005-11-01 | |
| dc.date.accessioned | 2022-11-03T21:17:56Z | |
| dc.date.available | 2022-11-03T21:17:56Z | |
| dc.identifier | https://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2503 | |
| dc.identifier.uri | https://repositorioslatinoamericanos.uchile.cl/handle/2250/5047725 | |
| dc.description | 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 | en-US |
| dc.description | 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 | pt-BR |
| dc.format | application/pdf | |
| dc.language | eng | |
| dc.publisher | Sociedade Brasileira de Econometria | en-US |
| dc.relation | https://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2503/1486 | |
| dc.source | Brazilian Review of Econometrics; Vol. 25 No. 2 (2005); 159-172 | en-US |
| dc.source | Brazilian Review of Econometrics; v. 25 n. 2 (2005); 159-172 | pt-BR |
| dc.source | 1980-2447 | |
| dc.title | Further Results on Weak Exogeneity in Vector Error Correction Models | en-US |
| dc.title | Further Results on Weak Exogeneity in Vector Error Correction Models | pt-BR |
| dc.type | info:eu-repo/semantics/article | |
| dc.type | info:eu-repo/semantics/publishedVersion |