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Cointegration, long-run structural modelling and weak exogeneity : two models of the UK economy
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Jacobs, Jan and Wallis, Kenneth Frank (2010) Cointegration, long-run structural modelling and weak exogeneity : two models of the UK economy. Journal of Econometrics, Vol.158 (No.1). pp. 108-116. doi:10.1016/j.jeconom.2010.03.017 ISSN 0304-4076.
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WRAP_Wallis_2_0170226-ec-020811-jacobswallis2_rev_may09.pdf - Accepted Version - Requires a PDF viewer. Download (184Kb) |
Official URL: http://dx.doi.org/10.1016/j.jeconom.2010.03.017
Abstract
Cointegration ideas as introduced by Granger in 1981 are commonly embodied in empirical macroeconomic modelling through the vector error correction model (VECM). It has become common practice in these models to treat some variables as weakly exogenous, resulting in conditional VECMs. This paper studies the consequences of different approaches to weak exogeneity for the dynamic properties of such models, in the context of two models of the UK economy, one a national-economy model, the other the UK submodel of a global model. Impulse response and common trend analyses are shown to be sensitive to these assumptions and other specification choices.
Item Type: | Journal Article | ||||
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Subjects: | H Social Sciences > HC Economic History and Conditions | ||||
Divisions: | Faculty of Social Sciences > Economics | ||||
Library of Congress Subject Headings (LCSH): | Macroeconomics -- Econometric models, Cointegration, Exogeneity (Econometrics), Great Britain -- Economic conditions -- Econometric models | ||||
Journal or Publication Title: | Journal of Econometrics | ||||
Publisher: | Elsevier BV * North-Holland | ||||
ISSN: | 0304-4076 | ||||
Official Date: | September 2010 | ||||
Dates: |
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Volume: | Vol.158 | ||||
Number: | No.1 | ||||
Number of Pages: | 9 | ||||
Page Range: | pp. 108-116 | ||||
DOI: | 10.1016/j.jeconom.2010.03.017 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Date of first compliant deposit: | 3 December 2015 | ||||
Date of first compliant Open Access: | 3 December 2015 |
Data sourced from Thomson Reuters' Web of Knowledge
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