On the interactions of unit roots and exogeneity

DOI10.1080/07474939508800329zbMATH Open0836.62108OpenAlexW2156626430MaRDI QIDQ4860427FDOQ4860427

Authors: 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

Recommendations

• Weak exogeneity in \(I(2)\) VAR systems
• Exogeneity in error correction models
• Inference in Linear Time Series Models with some Unit Roots
• Estimation of cointegrated models with exogenous variables
• A survey of exogeneity in vector error correction models

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

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

Cites Work

• Title not available (Why is that?)
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Title not available (Why is that?)
• Multiple Time Series Regression with Integrated Processes
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Title not available (Why is that?)
• Cointegration in partial systems and the efficiency of single-equation analysis
• Estimating Long-Run Economic Equilibria
• Optimal Inference in Cointegrated Systems
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Regression Theory for Near-Integrated Time Series
• Time Series Regression with a Unit Root
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Efficient inference on cointegration parameters in structural error correction models
• Exogeneity
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Understanding spurious regressions in econometrics
• Models with Several Regimes and Changes in Exogeneity
• A Modified Stein-like Estimator for the Reduced Form Coefficients of Simultaneous Equations
• A note on weak exogeneity in VAR cointegrated models

Cited In (13)

• Testing weak exogeneity in multiplicative error models
• UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
• A necessary and sufficient condition for weak exogeneity in vector error correction models
• Lagrance-multiplier tersts for weak exogeneity: a synthesis
• A survey of exogeneity in vector error correction models
• Unit root and cointegrating limit theory when initialization is in the infinite past
• Impact of systematic sampling on causality in the presence of unit roots
• Granger causality
• Likelihood-based inference for weak exogeneity in I(2) cointegrated VAR models
• J. DENIS SARGAN AND THE ORIGINS OF LSE ECONOMETRIC METHODOLOGY
• Interpreting cointegrating vectors and common stochastic trends
• Modelbuilder -- an automated general-to-specific modelling tool
• Unit roots and cointegration in estimating causality between exports and economic growth:

This page was built for publication: On the interactions of unit roots and exogeneity

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4860427)