On the interactions of unit roots and exogeneity

DOI10.1080/07474939508800329zbMath0836.62108MaRDI QIDQ4860427

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

zbMATH Keywords

Monte Carlo study; limiting distributions; finite sample behaviour; weak exogeneity; exogeneity of conditioning variables; single equation estimation; cointegrated linear relationships; existence of unit roots; integrated-cointegrated data; single equation conditional linear relations

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62M09: Non-Markovian processes: estimation

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