Jacobs, Jan P.A.M.; Wallis, Kenneth F. - In: Journal of Econometrics 158 (2010) 1, pp. 108-116
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...
