Cointegration, long-run structural modelling and weak exogeneity
| Autor: | Kenneth F. Wallis, Jan Jacobs |
|---|---|
| Přispěvatelé: | Research programme EEF |
| Jazyk: | angličtina |
| Rok vydání: | 2010 |
| Předmět: |
HC
Economics and Econometrics Cointegration Applied Mathematics Macroeconomic modelling PERMANENT Context (language use) Conditional probability distribution Global model Macroeconometric modelling Error correction model Impulse response analysis Economy SYSTEMS Econometrics Economics Endogeneity Weak exogeneity MACROECONOMETRIC MODEL Vector error correction model Impulse response |
| Zdroj: | Journal of Econometrics, 158(1), 108-116. Elsevier Science |
| ISSN: | 0304-4076 |
| Popis: | Cointegration ideas as introduced by Granger in 1981 are commonly embodied in empirical macroeconomic modelling through the vector error correction model (VECM). It has become common practice in these models to treat some variables as weakly exogenous, resulting in conditional VECMs. This paper studies the consequences of different approaches to weak exogeneity for the dynamic properties of such models, in the context of two models of the UK economy, one a national-economy model, the other the UK submodel of a global model. Impulse response and common trend analyses are shown to be sensitive to these assumptions and other specification choices. (C) 2010 Elsevier B.V. All rights reserved. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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