Exogeneity, Cointegration, and Economic Policy Analysis

Simple item page
dc.contributor.authorERICSSON, Neil R.
dc.contributor.authorHENDRY, David F.
dc.contributor.authorMIZON, Grayham E.
dc.date.accessioned2011-05-09T15:11:41Z
dc.date.available2011-05-09T15:11:41Z
dc.date.issued1998
dc.description.abstractThis overview examines conditions for reliable economic policy analysis based on econometric models, focusing on the econometric concepts of exogeneity, cointegration, causality, and invariance. Weak, strong, and super exogeneity are discussed in general, and these concepts are then applied to the use of econometric models in policy analysis when the variables are cointegrated. Implications follow for model constancy, the Lucas critique, equation inversion, and impulse response analysis. A small money-demand model for the United Kingdom illustrates the main analytical points. This article then summarizes the other articles in this issue's special section on exogeneity, cointegration, and economic policy analysis.
dc.identifier.citationJournal of Business & Economic Statistics, 1998, 16, 4, 370-387
dc.identifier.doi10.2307/1392607
dc.identifier.endpage387
dc.identifier.issn0735-0015
dc.identifier.issue4
dc.identifier.startpage370
dc.identifier.urihttps://hdl.handle.net/1814/16974
dc.identifier.volume16
dc.neeo.contributorERICSSON|Neil R.|aut|
dc.neeo.contributorHENDRY|David F.|aut|
dc.neeo.contributorMIZON|Grayham E.|aut|
dc.titleExogeneity, Cointegration, and Economic Policy Analysis
dc.typeArticle
dspace.entity.typePublication
eui.subscribe.skiptrue
Files
Collections
ECO Articles