Exogeneity in Error Correction Models

  • Jean-Pierre Urbain

Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 398)

Table of contents

  1. Front Matter
    Pages I-XI
  2. Jean-Pierre Urbain
    Pages 1-5
  3. Jean-Pierre Urbain
    Pages 7-41
  4. Jean-Pierre Urbain
    Pages 43-81
  5. Jean-Pierre Urbain
    Pages 113-160
  6. Jean-Pierre Urbain
    Pages 161-164
  7. Back Matter
    Pages 165-196

About this book


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 valid inference in sub-systems, inthe framework of error correction models (ECMs). In many practical situations, the applied econometrician wants to introduce "structure" on his/her model in order to get economically meaningful coefficients. For thispurpose, ECMs in structural form provide an appealing framework, allowing the researcher to introduce (theoretically motivated) identification restrictions on the long run relationships. In this case, the validity of the inference will depend on a number of conditions which are investigated here. In particular,we point out that orthogonality tests, often used to test for weak exogeneity or for general misspecification, behave poorly in finite samples and are often not very useful in cointegrated systems.


Kointegration Simulation cointegration econometrics error correction integration modeling orthogonality time series weak exogeneity Ökonometrie

Authors and affiliations

  • Jean-Pierre Urbain
    • 1
  1. 1.Department of Quantitative EconomicsUniversity of LimburgMD MaastrichtThe Netherlands

Bibliographic information

  • DOI
  • Copyright Information Springer-Verlag Berlin Heidelberg 1993
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-56639-7
  • Online ISBN 978-3-642-95706-2
  • Series Print ISSN 0075-8442
  • Buy this book on publisher's site
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