Titlebook: Exogeneity in Error Correction Models; Jean-Pierre Urbain Book 1993 Springer-Verlag Berlin Heidelberg 1993 Kointegration.Simulation.cointe

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International Political Economy Seriesn of cointegration. Section 2 discusses the modelling of cointegrated series and particularly closed system (parametric) approaches. In Section 3, we discuss the use of (open) conditional systems while a brief discussion of the interpretation of ECMs is presented in Section 4.

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AI-Based Network and Service Management, the mixed normal limiting distribution of the cointegrating vector estimators necessitating therefore semi-parametric corrections, model augmentation or two-step approaches (see Phillips and Hansen, 1990, Phillips, 1991, Phillips and Loretan, 1991, Saikkonen, 1991, Stock and Watson, 1991, Boswijk, 1992a,b).

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Introduction and Summary, approach to econometric (for example Johnston, 1984) has disappeared in favor of empirical modelling approaches taking fully advantage of time series analysis for the elaboration of well behaved dynamic econometric models..

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Book 1993ture. This book provides ananalysis of the notion of (weak)exogeneity, which isnecessary to sustain valid inference in sub-systems, intheframework of error correction models (ECMs).In many practicalsituations, the applied econometricianwants to introduce "structure" onhis/her model in order toget ec

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Empirical Analysis: The Case of Aggregate Imports,cent econometric techniques and modelling approaches. Nevertheless, we think that a refinement in the dynamic specification of trade flows may lead to a substantially different analysis of price and income effects in international trade.

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Testing for Weak Exogeneity in Error Correction Models,ain useful if the model used in empirical analysis is a structural error correction model, if the parameters of interest include both short and long run coefficients and . the cointegrating vector is known to be absent from the marginal models.

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