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Weak exogeneity in partially nonstationary models

Author

Listed:
  • Antonio Aznar

    (Department of Economic Analysis, Faculty of Economics, University of Zaragoza, Doctor Cerrada s/n, Zaragoza 50005, Spain)

  • Manuel Salvador

    (Department of Economic Analysis, Faculty of Economics, University of Zaragoza, Doctor Cerrada s/n, Zaragoza 50005, Spain)

Abstract

This paper is dedicated to analysing the conditions for weak exogeneity in partially nonstationary models. After adopting a particular identification regime which is based on a triangularization of the parameters of the cointegration relations, we show that the conditions for weak exogeneity developed in the literature can be stated in terms of the parameters of the so-called structural form. This alternative presentation of the conditions permits new interpretations and provides fresh insights on how to test the exogeneity hypothesis.

Suggested Citation

  • Antonio Aznar & Manuel Salvador, 2002. "Weak exogeneity in partially nonstationary models," Spanish Economic Review, Springer;Spanish Economic Association, vol. 4(2), pages 139-150.
    • Handle: RePEc:spr:specre:v:4:y:2002:i:2:p:139-150
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    Citations

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    Cited by:

    1. Aznar, A. & Domingo, C., 2006. "Determining long-run neutrality in a partially nonstationary model," Economics Letters, Elsevier, vol. 91(2), pages 236-242, May.

    More about this item

    Keywords

    Weak exogeneity; identification regime; ECM; cointegration;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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