Long-run strong-exogeneity

Christophe Rault ()

Economics Bulletin, 2011, vol. 31, issue 1, pages 1-8

Abstract: This note supplements the paper by Pradel and Rault (2003) "Exogeneity in VAR-ECM models with purely exogenous long-run paths", Oxford Bulletin of Economics and Statistics. In particuliar, we propose a condition to distinguish between cointegration amongst "endogenous" and "exogenous" variables and also between cointegrating vectors appearing in the equations of the "endogenous" and "exogenous" variables, i.e in the conditional and marginal models. This condition that we call "long-run strong-exogeneity" has a practical appealing aspect since it permits valid long-run forecasts from the conditional model alone.

Keywords: cointegration; exogeneity; weak exogeneity (search for similar items in EconPapers)
JEL-codes: C3 (search for similar items in EconPapers)
Date: 2011-01-03
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