SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES

DOI10.1081/ETC-120015785zbMath1064.91532OpenAlexW3122280472MaRDI QIDQ4443964

Jean-Pierre Urbain, Alain Hecq, Franz C. Palm

Publication date: 22 March 2004

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/etc-120015785

zbMATH Keywords

Separation, Cointegration, Common features, Weak exogeneity, P-T Decomposition, Consumption function

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82) Consumer behavior, demand theory (91B42)

Related Items (6)

Common cyclical features analysis in VAR models with cointegration ⋮ Studying co-movements in large multivariate data prior to multivariate modelling ⋮ Separate cointegration in a VAR system subject to structural breaks ⋮ A survey of exogeneity in vector error correction models ⋮ Statistical Issues in Macroeconomic Modelling^* ⋮ A characterization of vector autoregressive processes with common cyclical features

Cites Work

• Common cyclical features analysis in VAR models with cointegration
• Cointegration in partial systems and the efficiency of single-equation analysis
• Testing exact rational expectations in cointegrated vector autoregressive models
• Conditional and structural error correction models
• Some cautions on the use of panel methods for integrated series of macroeconomic data
• Exogeneity
• Nested Reduced-Rank Autogressive Models for Multiple Time Series
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Inference of Vector Autoregressive Models With Cointegration and Scalar Components
• Nonstationary panel data analysis: an overview of some recent developments
• The Influence of VAR Dimensions on Estimator Biases
• VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING

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