Exogeneity in error correction models

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zbMath0783.62101MaRDI QIDQ1308648

Jean-Pierre Urbain

Publication date: 24 November 1993

Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo study error correction models weak exogeneity incomplete models empirical studies orthogonality condition long run properties single equation models asymptotic behaviour of Hausman tests cointegrated systems empirical power of orthogonality tests incomplete simultaneous equations model testing for weak exogeneity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

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