Exogeneity in Error Correction Models
In the recent years, the study of cointegrated time series and the use of error correction models have become extremely popular in the econometric literature. This book provides an analysis of the notion of (weak) exogeneity, which is necessary to sustain
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Jean-Pierre Urbain
Exogeneity in Error Correction Models
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Author Dr. Jean-Pierre Urbain University of Limburg Department of Quantitative Economics P.O. Box 616 NL-6200 MD Maastricht, The Netherlands
ISBN-13: 978-3-540-56639-7 DOl: 10.1007/978-3-642-95706-2
e-ISBN-13: 978-3-642-95706-2
Library of Congress Cataloging-in-Publication Data. Urbain, Jean-Pierre. Exogeneity in error correction models/Jean-Pierre Urbain. p. cm. - Lecture notes in economics and mathematical systems; 398) Includes bibliographical references and index. ISBN-13: 978-3-540-56639-7 I. Error analysis (Mathematics) 2. Economics-Statistical methods. I. Title. II. Series. HB 137.U72 1994 330'.0I'5195-dc20 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, re-use of illustrations, recitation, broadcasting, reproduction on microfilms or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer-Verlag. Violations are liable for prosecution under the German Copyright Law. © Springer-Verlag Berlin Heidelberg 1993 Typesetting: Camera ready by author 42/3140-543210 - Printed on acid-free paper
Acknowledgements The material contained in this monograph results of research realised when I was working at the University of Liege. On looking back at the process of writing this monograph, I realise that many people have contributed to its realisation. First of all, I want to express my great indebtedness to Herman K. van Dijk, for having guided my work over the recent years. His constant support, both morally and intellectually, has been a major motivation for me to pursue this research. He has always been willing to read, comment and discuss the topics on which I have been working. Without his encouragments and suggestions, this work would certainly never have been conducted. Over the recent years, I have also benefited from numerous discussions with Jim Lindsey. He has always been an astute and friendly critic who helped me clarify the arguments at various points. His careful readings of different versions of the manuscript, and more generally of my work, has led to substantial improvement and clarification in the material contained in this book. Luc Bauwens and Franz Palm contributed many important comments and suggestions for which I am extremely grateful. I also would like to express my gratitude to Yvan Langaskens for his support. Several parts of this monograph have benefited from (oral or written) comments from Phillip Hans Franses, David Hendry, Soren Johansen and Mark Steel. In particular, I would like to thank Peter Boswijk for many stimulating discussions and for collaboration in work on exogeneity tests. Thanks are also due to
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