Exogeneity in Error Correction Models: 398 (Lecture Notes in Economics and Mathematical Systems, 398) - Softcover
Synopsis
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.
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Exogeneity in Error Correction Models
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -In the recent years, the study of cointegrated time seriesand the use of error correction models have become extremelypopular in the econometric literature. This book provides ananalysis of the notion of (weak) exogeneity, which isnecessary to sustain valid inference in sub-systems, intheframework of error correction models (ECMs).In many practical situations, the applied econometricianwants to introduce 'structure' on his/her model in order toget economically meaningful coefficients. For thispurpose,ECMs in structural form provide an appealing framework,allowing the researcher to introduce (theoreticallymotivated) identification restrictions on the long runrelationships. In this case, the validity of the inferencewill depend on a number of conditions which are investigatedhere. In particular,we point out that orthogonality tests,often used to test for weak exogeneity or for generalmisspecification, behave poorly in finite samples and areoften not very useful in cointegrated systems. 212 pp. Englisch. Seller Inventory # 9783540566397
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Exogeneity in Error Correction Models (Lecture Notes in Economics and Mathematical Systems)
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Exogeneity in error correction models. Lecture notes in economics and mathematical systems.
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Exogeneity in Error Correction Models
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Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. In the recent years, the study of cointegrated time seriesand the use of error correction models have become extremelypopular in the econometric literature. This book provides ananalysis of the notion of (weak) exogeneity, which isnecessary to. Seller Inventory # 4894018
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Exogeneity in Error Correction Models
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Taschenbuch. Condition: Neu. This item is printed on demand - Print on Demand Titel. Neuware -In the recent years, the study of cointegrated time seriesand the use of error correction models have become extremelypopular in the econometric literature. This book provides ananalysis of the notion of (weak) exogeneity, which isnecessary to sustain valid inference in sub-systems, intheframework of error correction models (ECMs).In many practical situations, the applied econometricianwants to introduce 'structure' on his/her model in order toget economically meaningful coefficients. For thispurposeECMs in structural form provide an appealing frameworkallowing the researcher to introduce (theoreticallymotivated) identification restrictions on the long runrelationships. In this case, the validity of the inferencewill depend on a number of conditions which are investigatedhere. In particular,we point out that orthogonality testsoften used to test for weak exogeneity or for generalmisspecification, behave poorly in finite samples and areoften not very useful in cointegrated systems.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 212 pp. Englisch. Seller Inventory # 9783540566397