Systems of Dynamic Simultaneous Equations
Helmut Lütkepohl
Chapter 10 in New Introduction to Multiple Time Series Analysis, 2005, pp 387-413 from Springer
Abstract:
Abstract This chapter serves to point out some possible extensions of the models considered so far and to draw attention to potential problems related to such extensions. So far, we have assumed that all stochastic variables of a system have essentially the same status in that they are all determined within the system. In other words, the model describes the joint generation process of all the observable variables of interest. In practice, the generation process may be affected by other observable variables which are determined outside the system of interest. Such variables are called exogenous or unmodelled variables. In contrast, the variables determined within the system are called endogenous. Although deterministic terms can be included in the set of unmodelled variables, we often have stochastic variables in mind in this category. For instance, weather related variables such as rainfall or hours of sunshine are usually regarded as stochastic exogenous variables. As another example of the latter type of variables, if a small open economy is being studied, the price level or the output of the rest of the world may be regarded as exogenous. A model which specifies the generation process of some variables conditionally on some other unmodelled variables is sometimes called a conditional or {partial model} because it describes the generation process of a subset of the variables only.
Keywords: Exogenous Variable; Endogenous Variable; Dynamic SEMs; Quadratic Loss Function; Optimal Decision Rule (search for similar items in EconPapers)
Date: 2005
References: Add references at CitEc
Citations:
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-27752-1_10
Ordering information: This item can be ordered from
http://www.springer.com/9783540277521
DOI: 10.1007/978-3-540-27752-1_10
Access Statistics for this chapter
More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().