A pitfall in joint stationarity, weak exogeneity and autoregressive distributed lag models

Carlos Santos ()

Economics Bulletin, 2007, vol. 3, issue 53, 1-5

Abstract: We prove weak exogeneity is an not an impossibility with an ADL structure in the marginal and in the conditional. We show that joint stationarity requirements is driving such common belief

Keywords: weak; exogeneity; joint; stationarity; conditional; models; ADL; models; variation; free (search for similar items in EconPapers)
JEL-codes: C2 C5 (search for similar items in EconPapers)
Date: 2007-10-18
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