EconPapers    
Economics at your fingertips  
 

Structural analysis of vector error correction models with exogenous I(1) variables

Mohammad Pesaran, Richard J Smith () and Yongcheol Shin

Edinburgh School of Economics Discussion Paper Series from Edinburgh School of Economics, University of Edinburgh

Abstract: This paper generalizes the existing cointegration analysis literature in two respects. Firstly, the problem of efficient estimation of vector error correction models containing exogenous (1) variables is examined. The asymptotic distributions of the (log-)likelihood ratio statistics for testing cointegrating rank are derived under different intercept and trend specifications and their respective critical values are tabulated. Tests for the presence of an interceptor linear trend in the cointegrating relations are also developed together with model misspecification tests. Secondly, efficient estimation of vector error correction models when the short-run dynamics may differ within and between equations is considered. A re-examination of the purchasing power parity and the uncovered interest rate parity hypotheses is conducted using U.K. data under the maintained assumption of exogenously given foreign and oil prices.

Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (17)

Downloads: (external link)
http://www.econ.ed.ac.uk/papers/id38_esedps.pdf Revised version, October 1999 (application/pdf)

Related works:
Journal Article: Structural analysis of vector error correction models with exogenous I(1) variables (2000) Downloads
Working Paper: Structural analysis of vector error correction models with exogenous I(1) variables (1999) Downloads
Working Paper: Structural Analysis of Vector Error Correction Models with Exogenous I(1) Variables (1997)
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:edn:esedps:7

Access Statistics for this paper

More papers in Edinburgh School of Economics Discussion Paper Series from Edinburgh School of Economics, University of Edinburgh 31 Buccleuch Place, EH8 9JT, Edinburgh. Contact information at EDIRC.
Bibliographic data for series maintained by Research Office ().

 
Page updated 2025-03-30
Handle: RePEc:edn:esedps:7