Exogeneity in Error Correction Models - Urbain, Jean-Pierre

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Résumé :
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.

Sommaire:
1 Introduction and Summary.- 2 Cointegrated Systems.- 2.1 Some Historical Background to the Modelling of Economic Time Series.- 2.2 Integration and Cointegration.- 2.3 The Modelling of Cointegrated Systems.- 2.4 Cointegration and Conditional Sub-systems.- 2.5 Error Correction Models.- 2.6 Conclusions.- 3 Weak Exogeneity in ECMs.- 3.1 Weak Exogeneity.- 3.2 Reduced Form Error Correction Models.- 3.3 ECMs in Structural Form.- 3.4 Inference on Weak Exogeneity in ECMs.- 3.5 Empirical Illustration.- 3.6 Conclusions.- 4 Testing for Weak Exogeneity.- 4.1 Introduction.- 4.2 Exogeneity and the Incomplete SEM.- 4.3 The Behaviour of Orthogonality Tests in the Presence of (Co)-Integrated Variables.- 4.4 Testing for Weak Exogeneity in ECMs where the Short Run Dynamic Parameters are Parameters of Interest.- 4.5 Conclusions.- 5 Empirical Analysis: The Case of Aggregate Imports.- 5.1 Background.- 5.2 System versus Partial Approach to the Modelling of Belgium Aggregate Imports.- 5.3 Conclusions.- 6 Conclusions.- Author Index.