Cointegration, long-run structural modelling and weak exogeneity: two models of the UK economy

DOI10.1016/J.JECONOM.2010.03.017zbMath1431.62632OpenAlexW2168243332MaRDI QIDQ736560

Jan P. A. M. Jacobs, Kenneth F. Wallis

Publication date: 4 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.03.017

zbMATH Keywords

cointegrationvector error correction modelimpulse response analysismacroeconometric modellingweak exogeneity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Unnamed Item
• Econometric analysis of structural systems with permanent and transitory shocks
• Global and National Macroeconometric Modelling
• Testing for Common Trends
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• PERMANENT-TRANSITORY DECOMPOSITIONS UNDER WEAK EXOGENEITY
• LONG-RUN STRUCTURAL MODELLING
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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