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Long-Run Strong-exogeneity

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  • Christophe RAULT

Abstract

This note supplements the paper by Pradel and Rault (2003) "Exogeneity in VAR-ECM models with purely exogenous long-run paths", Oxford Bulletin of Economics and Statistics. In particuliar, we propose a condition to distinguish between cointegration amongst "endogenous" and "exogenous" variables and also between cointegrating vectors appearing in the equations of the "endogenous" and "exogenous" variables, i.e in the conditional and marginal models. This condition that we call "long-run strong-exogeneity" has a practical appealing aspect since it permits valid long-run forecasts from the conditional model alone.
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Suggested Citation

  • Christophe RAULT, 2008. "Long-Run Strong-exogeneity," LEO Working Papers / DR LEO 1169, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    • Handle: RePEc:leo:wpaper:1169
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    References listed on IDEAS

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    1. Jacqueline Pradel & Christophe Rault, 2003. "Exogeneity in Vector Error Correction Models with Purely Exogenous Long‐Run Paths," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(5), pages 629-653, December.
    2. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    3. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
    4. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
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    Cited by:

    1. Anna Pajor, 2011. "A Bayesian Analysis of Exogeneity in Models with Latent Variables," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 3(2), pages 49-73, June.
    2. Cengiz Arikan & Yeliz Yalcin, 2013. "Determining the Exogeneity of Tax Components with Respect to GDP," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 3(3), pages 242-255, July.

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    More about this item

    Keywords

    Long-Run; Strong-exogeneity;

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

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