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Exogeneity In Error Correction Models
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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 Science & Business Media. This book was released on 2012-12-06 with total page 201 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.
Book Synopsis Cointegration, Identification, and Exogeneity by : H. Peter Boswijk
Download or read book Cointegration, Identification, and Exogeneity written by H. Peter Boswijk and published by . This book was released on 1992 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Exogeneity in Vector Error Correction Models with Purely Exogenous Long-run Paths by : Jacqueline Pradel
Download or read book Exogeneity in Vector Error Correction Models with Purely Exogenous Long-run Paths written by Jacqueline Pradel and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing Exogeneity by : Neil R. Ericsson
Download or read book Testing Exogeneity written by Neil R. Ericsson and published by . This book was released on 1994 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the nature of exogeneity, a central concept in standard econometrics texts, and shows how to test for it through numerous substantive empirical examples from around the world, including the UK, Argentina, Denmark, Finland, and Norway. Part I defines terms and provides the necessary background; Part II contains applications to models of expenditure, money demand, inflation, wages and prices, and exchange rates; and Part III extends various tests of constancy and forecast accuracy, which are central to testing super exogeneity. About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.
Book Synopsis On Weak Exogeneity in Error Correction Models by : Jean-Pierre Urbain
Download or read book On Weak Exogeneity in Error Correction Models written by Jean-Pierre Urbain and published by . This book was released on 1991* with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Lm-test for Weak Exogeneity in Error Correction Models by : Herman Peter Boswijk
Download or read book The Lm-test for Weak Exogeneity in Error Correction Models written by Herman Peter Boswijk and published by . This book was released on 1991 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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:
Book Synopsis Conditional and Structural Error Correction Models by : Neil R. Ericsson
Download or read book Conditional and Structural Error Correction Models written by Neil R. Ericsson and published by . This book was released on 1994 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data by : Anindya Banerjee
Download or read book Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data written by Anindya Banerjee and published by Oxford University Press. This book was released on 1993-05-27 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a wide-ranging account of the literature on co-integration and the modelling of integrated processes (those which accumulate the effects of past shocks). Data series which display integrated behaviour are common in economics, although techniques appropriate to analysing such data are of recent origin and there are few existing expositions of the literature. This book focuses on the exploration of relationships among integrated data series and the exploitation of these relationships in dynamic econometric modelling. The concepts of co-integration and error-correction models are fundamental components of the modelling strategy. This area of time-series econometrics has grown in importance over the past decade and is of interest to econometric theorists and applied econometricians alike. By explaining the important concepts informally, but also presenting them formally, the book bridges the gap between purely descriptive and purely theoretical accounts of the literature. The asymptotic theory of integrated processes is described and the tools provided by this theory are used to develop the distributions of estimators and test statistics. Practical modelling advice, and the use of techniques for systems estimation, are also emphasized. A knowledge of econometrics, statistics, and matrix algebra at the level of a final-year undergraduate or first-year undergraduate course in econometrics is sufficient for most of the book. Other mathematical tools are described as they occur.
Book Synopsis Likelihood-based Inference in Cointegrated Vector Autoregressive Models by : Søren Johansen
Download or read book Likelihood-based Inference in Cointegrated Vector Autoregressive Models written by Søren Johansen and published by Oxford University Press, USA. This book was released on 1995 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.
Book Synopsis Structural Error Correction Models by : Jaebeom Kim
Download or read book Structural Error Correction Models written by Jaebeom Kim and published by . This book was released on 2003 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Distributions of Error Correction Tests for Cointegration by : Neil R. Ericsson
Download or read book Distributions of Error Correction Tests for Cointegration written by Neil R. Ericsson and published by . This book was released on 1999 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Efficient, Three-step Algorithm for Establishing Error-correction Models with an Application to the U.S. Macroeconomy by : Michael D. Boldin
Download or read book An Efficient, Three-step Algorithm for Establishing Error-correction Models with an Application to the U.S. Macroeconomy written by Michael D. Boldin and published by . This book was released on 1995 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On Error Correction Models by : George Alogoskoufis
Download or read book On Error Correction Models written by George Alogoskoufis and published by . This book was released on 1990 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Error Correction Models, Co-integration and the Internal Model Principle by : Mark Salmon
Download or read book Error Correction Models, Co-integration and the Internal Model Principle written by Mark Salmon and published by . This book was released on 1988 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Consistency of Least Squares Estimators in Error Correction Models by : James H. Stock
Download or read book The Consistency of Least Squares Estimators in Error Correction Models written by James H. Stock and published by . This book was released on 1984 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Dealing with Endogeneity in Regression Models with Dynamic Coefficients by : Chang-Jin Kim
Download or read book Dealing with Endogeneity in Regression Models with Dynamic Coefficients written by Chang-Jin Kim and published by Now Publishers Inc. This book was released on 2010 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this monograph is to present a unified econometric framework for dealing with the issues of endogeneity in Markov-switching models and time-varying parameter models, as developed by Kim (2004, 2006, 2009), Kim and Nelson (2006), Kim et al. (2008), and Kim and Kim (2009). While Cogley and Sargent (2002), Primiceri (2005), Sims and Zha (2006), and Sims et al. (2008) consider estimation of simultaneous equations models with stochastic coefficients as a system, we deal with the LIML (limited information maximum likelihood) estimation of a single equation of interest out of a simultaneous equations model. Our main focus is on the two-step estimation procedures based on the control function approach, and we show how the problem of generated regressors can be addressed in second-step regressions.
