Noncausality in VAR-ECM models with purely exogeneous long-run paths

DOI10.1016/S0165-1765(99)00267-0zbMath0953.91050OpenAlexW2150604806MaRDI QIDQ1978557

Christophe Rault

Publication date: 4 June 2000

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(99)00267-0

zbMATH Keywords

Monte Carlocointegrationnoncausalitystructural hypothesis

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (2)

A survey of exogeneity in vector error correction models ⋮ Estimation of cointegrated models with exogenous variables

Cites Work

• Unnamed Item
• Statistical analysis of cointegration vectors
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• A comparison of tests of linear hypothesis in cointegrated vector autoregressive models
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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