Exogeneity Cointegration And Economic Policy Analysis

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Exogeneity, Cointegration, and Economic Policy Analysis

Author : Neil R. Ericsson
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Exogeneity, Cointegration, and Economic Policy Analysis by : Neil R. Ericsson

Download or read book Exogeneity, Cointegration, and Economic Policy Analysis written by Neil R. Ericsson and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This overview examines conditions for reliable economic policy analysis based on econometric models, focusing on the econometric concepts of exogeneity, cointegration, causality, and invariance. Weak, strong, and super exogeneity are discussed in general; and these concepts are then applied to the use of econometric models in policy analysis when the variables are cointegrated. Implications follow for model constancy, the Lucas critique, equation inversion, and impulse response analysis. A small money-demand model for the United Kingdom illustrates the main analytical points. This paper then summarizes the other articles in this issue's special section on "Exogeneity, Cointegration, and Economic Policy Analysis."

Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis

Author : Davide Pettenuzzo
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (931 download)

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Book Synopsis Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis by : Davide Pettenuzzo

Download or read book Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis written by Davide Pettenuzzo and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Special Section on Exogeneity, Cointegration, and Economic Policy Analysis

Author : Neil R. Ericsson
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (133 download)

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Book Synopsis Special Section on Exogeneity, Cointegration, and Economic Policy Analysis by : Neil R. Ericsson

Download or read book Special Section on Exogeneity, Cointegration, and Economic Policy Analysis written by Neil R. Ericsson and published by . This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Cointegration, Exogeneity, and Policy Analysis

Author : Neil R. Ericsson
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.3/5 ( download)

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Book Synopsis Cointegration, Exogeneity, and Policy Analysis by : Neil R. Ericsson

Download or read book Cointegration, Exogeneity, and Policy Analysis written by Neil R. Ericsson and published by . This book was released on 1991 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Exogeneity, Causality, and Co-breaking in Economic Policy Analysis of a Small Econometric Model of Money in the UK

Author : David F. Hendry
Publisher :
ISBN 13 :
Total Pages : 294 pages
Book Rating : 4.:/5 (43 download)

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Book Synopsis Exogeneity, Causality, and Co-breaking in Economic Policy Analysis of a Small Econometric Model of Money in the UK by : David F. Hendry

Download or read book Exogeneity, Causality, and Co-breaking in Economic Policy Analysis of a Small Econometric Model of Money in the UK written by David F. Hendry and published by . This book was released on 1998 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Exogeneity, Causality, and Co-breaking in Economic Policy Analysis of a Small Econometric Model of Money in the UK

Author : David F. Hendry
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (43 download)

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Book Synopsis Exogeneity, Causality, and Co-breaking in Economic Policy Analysis of a Small Econometric Model of Money in the UK by : David F. Hendry

Download or read book Exogeneity, Causality, and Co-breaking in Economic Policy Analysis of a Small Econometric Model of Money in the UK written by David F. Hendry and published by . This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Exogeneity, Cointegration, and Economic Policy Analysis

Author : Neil R. Ericsson
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Exogeneity, Cointegration, and Economic Policy Analysis by : Neil R. Ericsson

Download or read book Exogeneity, Cointegration, and Economic Policy Analysis written by Neil R. Ericsson and published by . This book was released on 1998 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Testing Weak Exogeneity in Cointegrated Panels

Author : Enrique Moral-Benito
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Testing Weak Exogeneity in Cointegrated Panels by : Enrique Moral-Benito

Download or read book Testing Weak Exogeneity in Cointegrated Panels written by Enrique Moral-Benito and published by . This book was released on 2017 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: For reason of empirical tractability, analysis of cointegrated economic time series is often developed in a partial setting, in which a subset of variables is explicitly modeled conditional on the rest. This approach yields valid inference only if the conditioning variables are weakly exogenous for the parameters of interest. This paper proposes a new test of weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first letting the time dimension of the panel go to infinity and then letting its cross-sectional dimension go to infinity.The paper evaluates the accuracy of the asymptotic approximation in finite samples via simulation experiments. Finally, as an empirical illustration, the paper reports tests of weak exogeneity of disposable income and wealth in an aggregate consumption equation.

Exogeneity in Error Correction Models

Author : Jean-Pierre Urbain
Publisher : Springer
ISBN 13 :
Total Pages : 214 pages
Book Rating : 4.:/5 (321 download)

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Book Synopsis Exogeneity in Error Correction Models by : Jean-Pierre Urbain

Download or read book Exogeneity in Error Correction Models written by Jean-Pierre Urbain and published by Springer. This book was released on 1993-06-14 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the recent years, the study of cointegrated time series and the use of error correction models have become extremely popular in the econometric literature. This book provides an analysis of the notion of (weak) exogeneity, which is necessary to sustain valid inference in sub-systems, inthe framework of error correction models (ECMs). In many practical situations, the applied econometrician wants to introduce "structure" on his/her model in order to get economically meaningful coefficients. For thispurpose, ECMs in structural form provide an appealing framework, allowing the researcher to introduce (theoretically motivated) identification restrictions on the long run relationships. In this case, the validity of the inference will depend on a number of conditions which are investigated here. In particular,we point out that orthogonality tests, often used to test for weak exogeneity or for general misspecification, behave poorly in finite samples and are often not very useful in cointegrated systems.

Cointegration, Causality, and Forecasting

Author : Halbert White
Publisher : Oxford University Press, USA
ISBN 13 : 9780198296836
Total Pages : 512 pages
Book Rating : 4.2/5 (968 download)

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Book Synopsis Cointegration, Causality, and Forecasting by : Halbert White

Download or read book Cointegration, Causality, and Forecasting written by Halbert White and published by Oxford University Press, USA. This book was released on 1999 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.

Contemporary Issues in Economics and Econometrics

Author : Stan Hurn
Publisher : Edward Elgar Publishing
ISBN 13 : 9781782543756
Total Pages : 264 pages
Book Rating : 4.5/5 (437 download)

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Book Synopsis Contemporary Issues in Economics and Econometrics by : Stan Hurn

Download or read book Contemporary Issues in Economics and Econometrics written by Stan Hurn and published by Edward Elgar Publishing. This book was released on 2004-01-01 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'All of the papers share a high level of practical relevance and usefulness that is sometimes missing in economic research. Indeed, the reader will find that very issue taken up as the theme of Paul Klemperer's delightful essay, and all five papers under the heading of "econometric theory" will be extremely useful for most applied researchers. I hope that the reader will also share my feeling of gratitude toward Ralf Becker and Stan Hurn for putting together this outstanding permanent record of some of the conference's most important contributions.' - From the foreword by James D. Hamilton, University of California, San Diego, US This authoritative collection of papers covers a broad spectrum of topics in theoretical and applied economics and econometrics. The tone of the book is set by Paul Klemperer's contribution on using and abusing economic theory, in which academics are encouraged to widen the scope of their analyses beyond the confines of elegant models which sometimes lack 'real-world' detail. As a result, many of the chapters in this volume share a high degree of practical relevance.

The Methodology and Practice of Econometrics

Author : Jennifer Castle
Publisher : OUP Oxford
ISBN 13 : 0191553255
Total Pages : 464 pages
Book Rating : 4.1/5 (915 download)

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Book Synopsis The Methodology and Practice of Econometrics by : Jennifer Castle

Download or read book The Methodology and Practice of Econometrics written by Jennifer Castle and published by OUP Oxford. This book was released on 2009-04-30 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: David F. Hendry is a seminal figure in modern econometrics. He has pioneered the LSE approach to econometrics, and his influence is wide ranging. This book is a collection of papers dedicated to him and his work. Many internationally renowned econometricians who have collaborated with Hendry or have been influenced by his research have contributed to this volume, which provides a reflection on the recent advances in econometrics and considers the future progress for the methodology of econometrics. Central themes of the book include dynamic modelling and the properties of time series data, model selection and model evaluation, forecasting, policy analysis, exogeneity and causality, and encompassing. The book strikes a balance between econometric theory and empirical work, and demonstrates the influence that Hendry's research has had on the direction of modern econometrics. Contributors include: Karim Abadir, Anindya Banerjee, Gunnar Bårdsen, Andreas Beyer, Mike Clements, James Davidson, Juan Dolado, Jurgen Doornik, Robert Engle, Neil Ericsson, Jesus Gonzalo, Clive Granger, David Hendry, Kevin Hoover, Søren Johansen, Katarina Juselius, Steven Kamin, Pauline Kennedy, Maozu Lu, Massimiliano Marcellino, Laura Mayoral, Grayham Mizon, Bent Nielsen, Ragnor Nymoen, Jim Stock, Pravin Trivedi, Paolo Paruolo, Mark Watson, Hal White, and David Zimmer.

Modelling Non-Stationary Economic Time Series

Author : S. Burke
Publisher : Springer
ISBN 13 : 0230005780
Total Pages : 253 pages
Book Rating : 4.2/5 (3 download)

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Book Synopsis Modelling Non-Stationary Economic Time Series by : S. Burke

Download or read book Modelling Non-Stationary Economic Time Series written by S. Burke and published by Springer. This book was released on 2005-06-14 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt: Co-integration, equilibrium and equilibrium correction are key concepts in modern applications of econometrics to real world problems. This book provides direction and guidance to the now vast literature facing students and graduate economists. Econometric theory is linked to practical issues such as how to identify equilibrium relationships, how to deal with structural breaks associated with regime changes and what to do when variables are of different orders of integration.

Econometrics: Alchemy or Science?

Author : David F. Hendry
Publisher : OUP Oxford
ISBN 13 : 0191522112
Total Pages : 560 pages
Book Rating : 4.1/5 (915 download)

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Book Synopsis Econometrics: Alchemy or Science? by : David F. Hendry

Download or read book Econometrics: Alchemy or Science? written by David F. Hendry and published by OUP Oxford. This book was released on 2000-10-26 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Econometrics: Alchemy or Science?" analyses the effectiveness and validity of applying econometric methods to economic time series. The methodological dispute is long-standing, and no claim can be made for a single valid method, but recent results on the theory and practice of model selection bid fair to resolve many of the contentious issues. The book presents criticisms and evaluations of competing approaches, based on theoretical economic and econometric analyses, empirical applications, and Monte Carlo simulations, which interact to determine best practice. It explains the evolution of an approach to econometric modelling founded in careful statistical analyses of the available data, using economic theory to guide the general model specification. From a strong foundation in the theory of reduction, via a range of applied and simulation studies, it demonstrates that general-to-specific procedures have excellent properties. The book is divided into four Parts: Routes and Route Maps; Empirical Modelling Strategies; Formalization; and Retrospect and Prospect. A short preamble to each chapter sketches the salient themes, links to earlier and later developments, and the lessons learnt or missed at the time. A sequence of detailed empirical studies of consumers' expenditure and money demand illustrate most facets of the approach. Material new to this revised edition describes recent major advances in computer-automated model selection, embodied in the powerful new software program PcGets, which establish the operational success of the modelling strategy.

Introduction to Modern Time Series Analysis

Author : Gebhard Kirchgässner
Publisher : Springer Science & Business Media
ISBN 13 : 3642334369
Total Pages : 326 pages
Book Rating : 4.6/5 (423 download)

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Book Synopsis Introduction to Modern Time Series Analysis by : Gebhard Kirchgässner

Download or read book Introduction to Modern Time Series Analysis written by Gebhard Kirchgässner and published by Springer Science & Business Media. This book was released on 2012-10-08 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series, bridging the gap between methods and realistic applications. It presents the most important approaches to the analysis of time series, which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series, Granger causality tests and vector autogressive models are presented. As the modelling of nonstationary uni- or multivariate time series is most important for real applied work, unit root and cointegration analysis as well as vector error correction models are a central topic. Tools for analysing nonstationary data are then transferred to the panel framework. Modelling the (multivariate) volatility of financial time series with autogressive conditional heteroskedastic models is also treated.

Money Demand in Europe

Author : Helmut Lütkepohl
Publisher : Springer Science & Business Media
ISBN 13 : 3662125390
Total Pages : 266 pages
Book Rating : 4.6/5 (621 download)

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Book Synopsis Money Demand in Europe by : Helmut Lütkepohl

Download or read book Money Demand in Europe written by Helmut Lütkepohl and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 1999 a number of member states of the European Union will adopt a common currency. This change in the monetary system requires that a Eur opean Central Bank is set up and a common monetary policy is pursued. There is general agreement among those countries which are likely to join the common currency that price level stability has to be the ultimate objec tive of monetary po1icy. It is an open issue, however, what kind of policy is best suited for that purpose. The alternative strategies under discussion are a direct inflation targeting, an intermediate monetary targeting or a mixture of both. For these policy strategies a stable money demand relation is of cen tral importance. Therefore a workshop on Money Demand in Europe was organized at the Humboldt University in Berlin on October 10/11, 1997. This research conference brought together academic and central bank econo mists and econometricians predominantly from Europe to discuss issues on specification, estimation and, in particular, stability of money demand rela tions both in a single equation and in a systems framework. In this volume revised versions of the papers presented and discussed at the workshop are collected. The volume thereby gives an overview of money demand analysis in Europe on the eve of the introduction of the Euro in some European countries. It contributes to the discussion on a suitable monetary policy for the new European Central Bank.

Advances in Markov-Switching Models

Author : James D. Hamilton
Publisher : Springer Science & Business Media
ISBN 13 : 3642511821
Total Pages : 267 pages
Book Rating : 4.6/5 (425 download)

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Book Synopsis Advances in Markov-Switching Models by : James D. Hamilton

Download or read book Advances in Markov-Switching Models written by James D. Hamilton and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 267 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis. The individual contributions cover new advances in Markov-switching models with applications to business cycle research and finance. The introduction surveys the existing methods and new results of the last decade. Individual chapters study features of the U. S. and European business cycles with particular focus on the role of monetary policy, oil shocks and co movements among key variables. The short-run versus long-run consequences of an economic recession are also discussed. Another area that is featured is an extensive analysis of currency crises and the possibility of bubbles or fads in stock prices. A concluding chapter offers useful new results on testing for this kind of regime-switching behaviour. Overall, the book provides a state-of-the-art over view of new directions in methods and results for estimation and inference based on the use of Markov-switching time-series analysis. A special feature of the book is that it includes an illustration of a wide range of applications based on a common methodology. It is expected that the theme of the book will be of particular interest to the macroeconomics readers as well as econometrics professionals, scholars and graduate students. We wish to express our gratitude to the authors for their strong contributions and the reviewers for their assistance and careful attention to detail in their reports.