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A pitfall in joint stationarity, weak exogeneity and autoregressive distributed lag models
Santos, Carlos - In: Economics Bulletin 3 (2007) 53, pp. 1-5
We prove weak exogeneity is an not an impossibility with an ADL structure in the marginal and in the conditional. We show that joint stationarity requirements is driving such common belief
Persistent link: https://www.econbiz.de/10010629810
Cover Image
A pitfall in joint stationarity, weak exogeneity and autoregressive distributed lag models
Santos, Carlos - In: Economics Bulletin 3 (2007) 53, pp. 1-5
We prove weak exogeneity is an not an impossibility with an ADL structure in the marginal and in the conditional. We show that joint stationarity requirements is driving such common belief
Persistent link: https://www.econbiz.de/10005110611