Exogeneity in Error Correction Models
Jean-Pierre Urbain
Broschiertes Buch

Exogeneity in Error Correction Models

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In the recent years, the study of cointegrated time seriesand the use of error correction models have become extremelypopular in the econometric literature. This book provides ananalysis of the notion of (weak) exogeneity, which isnecessary to sustain valid inference in sub-systems, intheframework of error correction models (ECMs).In many practical situations, the applied econometricianwants to introduce "structure" on his/her model in order toget economically meaningful coefficients. For thispurpose,ECMs in structural form provide an appealing framework,allowing the researcher to introduce (t...