On the interactions of unit roots and exogeneity

DOI10.1080/07474939508800329zbMath0836.62108OpenAlexW2156626430MaRDI QIDQ4860427

David F. Hendry

Publication date: 2 May 1996

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1814/484

zbMATH Keywords

Monte Carlo studylimiting distributionsfinite sample behaviourweak exogeneityexogeneity of conditioning variablessingle equation estimationcointegrated linear relationshipsexistence of unit rootsintegrated-cointegrated datasingle equation conditional linear relations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09)

Related Items (7)

Unnamed Item ⋮ Testing weak exogeneity in multiplicative error models ⋮ J. DENIS SARGAN AND THE ORIGINS OF LSE ECONOMETRIC METHODOLOGY ⋮ Likelihood-Based Inference for Weak Exogeneity inI(2) Cointegrated VAR Models ⋮ Lagrance-multiplier tersts for weak exogeneity: a synthesis ⋮ ModelBuilder — an Automated General-to-specific Modelling Tool ⋮ Interpreting cointegrating vectors and common stochastic trends

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