SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES

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

zbMATH Keywords

Separation, Cointegration, Common features, Weak exogeneity, P-T Decomposition, Consumption function

Mathematics Subject Classification ID

91B84: Economic time series analysis

91B82: Statistical methods; economic indices and measures

91B42: Consumer behavior, demand theory

Related Items

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

Cites Work

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• Nonstationary panel data analysis: an overview of some recent developments
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