Further results on weak-exogeneity in vector error correction models

Christophe Rault

No 402, Econometric Society 2004 Far Eastern Meetings from Econometric Society

Abstract: This paper provides a necessary and sufficient condition for weak exogeneity in vector error correction models. An interesting property is that the statistics involved in the sequential procedure for testing this condition are distributed as ?ariables and can therefore easily be calculated with usual statistical computer packages, which makes our approach fully operational empirically. Finally, the power and size distortions of this sequential test procedure are analysed with Monte-Carlo simulations

Keywords: Cointegration; canonical representation; weak-exogeneity; power; size distortions. (search for similar items in EconPapers)
JEL-codes: C15 C22 (search for similar items in EconPapers)
Date: 2004-08-11
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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http://repec.org/esFEAM04/up.12128.1071603032.pdf (application/pdf)

Related works:
Journal Article: Further Results on Weak Exogeneity in Vector Error Correction Models (2005)
Working Paper: Further Results on Weak-Exogeneity in Vector Error Correction Models (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:feam04:402

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