Weak exogeneity in partially nonstationary models

Antonio Aznar () and Manuel Salvador ()
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Antonio Aznar: Department of Economic Analysis, Faculty of Economics, University of Zaragoza, Doctor Cerrada s/n, Zaragoza 50005, Spain
Manuel Salvador: Department of Economic Analysis, Faculty of Economics, University of Zaragoza, Doctor Cerrada s/n, Zaragoza 50005, Spain

Spanish Economic Review, 2002, vol. 4, issue 2, 139-150

Abstract: This paper is dedicated to analysing the conditions for weak exogeneity in partially nonstationary models. After adopting a particular identification regime which is based on a triangularization of the parameters of the cointegration relations, we show that the conditions for weak exogeneity developed in the literature can be stated in terms of the parameters of the so-called structural form. This alternative presentation of the conditions permits new interpretations and provides fresh insights on how to test the exogeneity hypothesis.

Keywords: Weak exogeneity; identification regime; ECM; cointegration (search for similar items in EconPapers)
JEL-codes: C12 C52 (search for similar items in EconPapers)
Date: 2002-07-24
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