A note on weak exogeneity in VAR cointegrated models

DOI10.1016/0165-1765(92)90044-YMaRDI QIDQ1206321zbMATH OpenOpenAlexFDO

Authors Juan J. Dolado

Publication date 1 April 1993

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(92)90044-y

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites work

• Exogeneity
• Optimal Inference in Cointegrated Systems

Cited in

(5)

• Testing cointegrating coefficients in vector autoregressive error correction models
• Two stage least squares estimation in structural cointegration models
• Lagrance-multiplier tersts for weak exogeneity: a synthesis
• Testing weak exogeneity in multiplicative error models
• On the interactions of unit roots and exogeneity

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