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The Value of Structural Information in the VAR Model
Strachan, Rodney W.; Dijk, Herman K. van - Econometric Society - 2004
features of a model, such as cointegration, can improve policy analysis as it can improve estimation, inference and forecast … features of the VAR model. The features considered are cointegration, exogeneity, deterministic processes and …
Persistent link: https://www.econbiz.de/10005063701
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Further results on weak-exogeneity in vector error correction models
Rault, Christophe - Econometric Society - 2004
This paper provides a necessary and sufficient condition for weak exogeneity in vector error correction models. An interesting property is that the statistics involved in the sequential procedure for testing this condition are distributed as ?ariables and can therefore easily be calculated with...
Persistent link: https://www.econbiz.de/10005702765