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Further Results on Weak Exogeneity in Vector Error Correction Models

Brazilian Review of Econometrics

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Title Further Results on Weak Exogeneity in Vector Error Correction Models
Further Results on Weak Exogeneity in Vector Error Correction Models
 
Creator Rault, Christophe; EPEE, University of Evry-Val d’Essonne, Département d’économie, Boulevard François Mitterrand, 91025 Évry Cedex, France, and IZA
 
Description This paper extends the result for non-causality and strong exogeneity of Pradel and Rault and Pradel (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 be easily calculated with usual statistical computer packages, which makes our approach fully operational empirically
This paper extends the result for non-causality and strong exogeneity of Pradel and Rault and Pradel (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 be easily calculated with usual statistical computer packages, which makes our approach fully operational empirically
 
Publisher Sociedade Brasileira de Econometria
 
Date 2005-11-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
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Format application/pdf
 
Identifier http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2503
10.12660/bre.v25n22005.2503
 
Source Brazilian Review of Econometrics; Vol 25, No 2 (2005); 159-172
Brazilian Review of Econometrics; Vol 25, No 2 (2005); 159-172
1980-2447
 
Language eng
 
Relation http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2503/1486