SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES
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Publication:4443964
DOI10.1081/ETC-120015785zbMath1064.91532MaRDI QIDQ4443964
Jean-Pierre Urbain, Alain Hecq, Franz C. Palm
Publication date: 22 March 2004
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1081/etc-120015785
Separation, Cointegration, Common features, Weak exogeneity, P-T Decomposition, Consumption function
91B84: Economic time series analysis
91B82: Statistical methods; economic indices and measures
91B42: Consumer behavior, demand theory
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Statistical Issues in Macroeconomic Modelling*, Common cyclical features analysis in VAR models with cointegration, Studying co-movements in large multivariate data prior to multivariate modelling, A characterization of vector autoregressive processes with common cyclical features, A survey of exogeneity in vector error correction models, Separate cointegration in a VAR system subject to structural breaks
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