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Christophe Rault
''Long-run strong-exogeneity''
( 2011, Vol. 31 No.1 )
This note supplements the paper by Pradel and Rault (2003) "Exogeneity in VAR-ECM models with purely exogenous long-run paths", Oxford Bulletin of Economics and Statistics. In particuliar, we propose a condition to distinguish between cointegration amongst "endogenous" and "exogenous" variables and also between cointegrating vectors appearing in the equations of the "endogenous" and "exogenous" variables, i.e in the conditional and marginal models. This condition that we call "long-run strong-exogeneity" has a practical appealing aspect since it permits valid long-run forecasts from the conditional model alone.
Keywords: cointegration, exogeneity, weak exogeneity
JEL: C3 - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
Manuscript Received : Mar 19 2010 Manuscript Accepted : Jan 03 2011

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