A note on weak exogeneity in VAR cointegrated models
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Publication:1206321
DOI10.1016/0165-1765(92)90044-YzbMath0800.62795OpenAlexW2037725471MaRDI QIDQ1206321
Publication date: 1 April 1993
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0165-1765(92)90044-y
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (5)
Testing weak exogeneity in multiplicative error models ⋮ Testing cointegrating coefficients in vector autoregressive error correction models ⋮ On the interactions of unit roots and exogeneity ⋮ Two stage least squares estimation in structural cointegration models ⋮ Lagrance-multiplier tersts for weak exogeneity: a synthesis
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