Download or read book Exogeneity in Error Correction Models written by Jean-Pierre Urbain and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 201 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the recent years, the study of cointegrated time series and the use of error correction models have become extremely popular in the econometric literature. This book provides an analysis of the notion of (weak) exogeneity, which is necessary to sustain valid inference in sub-systems, inthe framework of error correction models (ECMs). In many practical situations, the applied econometrician wants to introduce "structure" on his/her model in order to get economically meaningful coefficients. For thispurpose, ECMs in structural form provide an appealing framework, allowing the researcher to introduce (theoretically motivated) identification restrictions on the long run relationships. In this case, the validity of the inference will depend on a number of conditions which are investigated here. In particular,we point out that orthogonality tests, often used to test for weak exogeneity or for general misspecification, behave poorly in finite samples and are often not very useful in cointegrated systems.

Download or read book On Weak Exogeneity in Error Correction Models written by Jean-Pierre Urbain and published by . This book was released on 1991* with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Lm test for Weak Exogeneity in Error Correction Models written by Herman Peter Boswijk and published by . This book was released on 1991 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Conditional and Structural Error Correction Models written by Neil R. Ericsson and published by . This book was released on 1994 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Exogeneity in Vector Error Correction Models with Purely Exogenous Long run Paths written by Jacqueline Pradel and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Co integration Error Correction and the Econometric Analysis of Non Stationary Data written by Anindya Banerjee and published by Oxford University Press. This book was released on 1993-05-27 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a wide-ranging account of the literature on co-integration and the modelling of integrated processes (those which accumulate the effects of past shocks). Data series which display integrated behaviour are common in economics, although techniques appropriate to analysing such data are of recent origin and there are few existing expositions of the literature. This book focuses on the exploration of relationships among integrated data series and the exploitation of these relationships in dynamic econometric modelling. The concepts of co-integration and error-correction models are fundamental components of the modelling strategy. This area of time-series econometrics has grown in importance over the past decade and is of interest to econometric theorists and applied econometricians alike. By explaining the important concepts informally, but also presenting them formally, the book bridges the gap between purely descriptive and purely theoretical accounts of the literature. The asymptotic theory of integrated processes is described and the tools provided by this theory are used to develop the distributions of estimators and test statistics. Practical modelling advice, and the use of techniques for systems estimation, are also emphasized. A knowledge of econometrics, statistics, and matrix algebra at the level of a final-year undergraduate or first-year undergraduate course in econometrics is sufficient for most of the book. Other mathematical tools are described as they occur.

Download or read book Cointegration Exogeneity and Policy Analysis written by Neil R. Ericsson and published by . This book was released on 1991 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Testing Exogeneity written by Neil R. Ericsson and published by . This book was released on 1994 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the nature of exogeneity, a central concept in standard econometrics texts, and shows how to test for it through numerous substantive empirical examples from around the world, including the UK, Argentina, Denmark, Finland, and Norway. Part I defines terms and provides the necessary background; Part II contains applications to models of expenditure, money demand, inflation, wages and prices, and exchange rates; and Part III extends various tests of constancy and forecast accuracy, which are central to testing super exogeneity. About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.

Download or read book Likelihood based Inference in Cointegrated Vector Autoregressive Models written by Søren Johansen and published by Oxford University Press, USA. This book was released on 1995 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.

Download or read book Distributions of Error Correction Tests for Cointegration written by Neil R. Ericsson and published by . This book was released on 1999 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Consistency of Least Squares Estimators in Error Correction Models written by James H. Stock and published by . This book was released on 1984 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Structural Error Correction Models written by Jaebeom Kim and published by . This book was released on 2003 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An Efficient Three step Algorithm for Establishing Error correction Models with an Application to the U S Macroeconomy written by Michael D. Boldin and published by . This book was released on 1995 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Cointegrated VAR Model written by Katarina Juselius and published by OUP Oxford. This book was released on 2006-12-07 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt: This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.

Download or read book Introduction to Modern Time Series Analysis written by Gebhard Kirchgässner and published by Springer Science & Business Media. This book was released on 2008-08-27 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series. It contains the most important approaches to analyze time series which may be stationary or nonstationary.

Download or read book Sectoral Analysis of the Impact of Foreign Aid on Economic Growth in Ethiopia Time Series Analysis of Agriculture Education and Health Sectors written by Fikadu Goshu and published by diplom.de. This book was released on 2015-02-01 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study has examined sectoral analysis of the impact of foreign aid on aggregate and sectoral economic growth in Ethiopia over the period 1981 to 2012 using Multivariate Vector Auto Regression analysis. All the necessary time series tests such as stationary test, co-integration test, weak exiguity test, vector error correction, and causality test in vector error correction model and the like are conducted. The empirical result from the growth equation shows that aid has a significant positive impact on educational sector GDP growth in the long run. On the other hand, foreign aid has positive but insignificant impact on real GDP growth, agriculture GDP growth, and health sector GDP growth of Ethiopia for the period under consideration. Foreign aid is effective in enhancing economic growth at aggregate level of Ethiopia in general and education sector in particular. The result of the study reveals that there is a bi-directional causal relationship between educational GDP and educational foreign aid in Ethiopia. There is also a unidirectional causality between agricultural aid and agricultural GDP growth. However, the health sector does not show any causality with their respective sector aid. This implies that aid allocated for certain sectors is ineffective in achieving its objectives of economic growth. Therefore, aid recipient country like Ethiopia has to work how to enhance the domestic revenue raising capacity of the country which is at the heart of the mechanism to meet the capital required for the economy in times of short falls and ineffectiveness of external resources.

Download or read book Economic Dislocation and Recovery in Lebanon written by Mr.Paul Cashin and published by International Monetary Fund. This book was released on 1995-12-01 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides background information on the Lebanese economy, based on an analysis of the economic consequences of war, and discusses several issues that will be central to Lebanon's prospects for recovery