Further Results on Weak-Exogeneity in Vector Error Correction Models

Christophe Rault

No 05-12, Documents de recherche from Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne

Abstract: This paper extends the result for non-causality and strong-exogeneity of Pradel and Rault (2003) Exogeneity in VAR-ECM models with purely exogenous long-run paths”, Oxford Bulletin of Economics and Statistics to weak-exogeneity. More precisely, it 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 χ2 variables and can therefore easily be calculated with usual statistical computer packages, which makes our approach fully operational empirically.

Pages: 16 pages
Date: 2005
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Citations: View citations in EconPapers (2)

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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 (2004)
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