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Carlos Santos
''A pitfall in joint stationarity, weak exogeneity and autoregressive distributed lag models''
( 2007, Vol. 3 No.53 )
We prove weak exogeneity is an not an impossibility with an ADL structure in the marginal and in the conditional. We show that joint stationarity requirements is driving such common belief
Keywords: weak exogeneity joint stationarity conditional models ADL models variation free
JEL: C5 - Econometric Modeling: General
C2 - Single Equation Models; Single Variables: General
Manuscript Received : Oct 18 2007 Manuscript Accepted : Oct 18 2007

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