A survey of exogeneity in vector error correction models
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Publication:2197390
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Cites work
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- Cointegration in partial systems and the efficiency of single-equation analysis
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- Estimating Long-Run Economic Equilibria
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Exogeneity
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- Forecasting and conditional projection using realistic prior distributions
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- scientific article; zbMATH DE number 4062374 (Why is no real title available?)
- scientific article; zbMATH DE number 3565994 (Why is no real title available?)
- Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
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- Noncausality in VAR-ECM models with purely exogeneous long-run paths
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- SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES
- Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
- Tests for cointegration. A Monte Carlo comparison
- Time to Build and Aggregate Fluctuations
- Vector Autoregressions and Causality
Cited in
(9)- Specification via model selection in vector error correction models
- Exogeneity in error correction models
- Structural analysis of vector error correction models with exogenous \(I(1)\) variables
- Weak exogeneity in \(I(2)\) VAR systems
- A Bayesian analysis of exogeneity in models pooling time-series and cross-sectional data
- A necessary and sufficient condition for weak exogeneity in vector error correction models
- Permanent-transitory decompositions under weak exogeneity
- On the interactions of unit roots and exogeneity
- Cointegration, long-run structural modelling and weak exogeneity: two models of the UK economy
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