A NOTE ON WEAK EXOGENEITY IN VAR COINTEGRATED MODELS

被引：10

作者：

DOLADO, JJ

机构：

[1] Bank of Spain, Madrid

来源：

ECONOMICS LETTERS | 1992年 / 38卷 / 02期

关键词：

D O I：

10.1016/0165-1765(92)90044-Y

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this note an extension of the traditional definition of weak exogeneity when the variables are I(1) and cointegrated is presented. In particular, the concept of long-run weak exogeneity is introduced when the parameters of interest are the elements of the cointegrating vectors. This definition extends some previously available definitions in this framework.

引用

页码：139 / 143

页数：5