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Exogeneity in Error Correcting Models
Jean-Pierre Urbain
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Description for Exogeneity in Error Correcting Models
Paperback. An analysis of the concept of weak exogeneity, which is necessary to sustain valid inference in sub-systems, in the framework of error correction models. Emphasis is placed on orthogonality tests, which are often used to uncover weak exogeneity or general misspecifications. Series: Lecture Notes in Economics and Mathematical Systems. Num Pages: 200 pages, biography. BIC Classification: KCA; KCH. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly. Dimension: 242 x 170 x 11. Weight in Grams: 371.
In the recent years, the study of cointegrated time series and the use of error correction models have become extremely popular in the econometric literature. This book provides an analysis of the notion of (weak) exogeneity, which is necessary to sustain valid inference in sub-systems, inthe framework of error correction models (ECMs). In many practical situations, the applied econometrician wants to introduce "structure" on his/her model in order to get economically meaningful coefficients. For thispurpose, ECMs in structural ... Read more
In the recent years, the study of cointegrated time series and the use of error correction models have become extremely popular in the econometric literature. This book provides an analysis of the notion of (weak) exogeneity, which is necessary to sustain valid inference in sub-systems, inthe framework of error correction models (ECMs). In many practical situations, the applied econometrician wants to introduce "structure" on his/her model in order to get economically meaningful coefficients. For thispurpose, ECMs in structural ... Read more
Product Details
Format
Paperback
Publication date
1993
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
200
Condition
New
Series
Lecture Notes in Economics and Mathematical Systems
Number of Pages
189
Place of Publication
Berlin, Germany
ISBN
9783540566397
SKU
V9783540566397
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
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