On the Interactions of Unit Roots and Exogeneity.
The paper considers the impact on estimation and inference of interactions between the existence of unit roots in a data generation process and the presence or absence of weak and strong exogeneity of conditioning variables for the parameters of interest in individual cointegrated linear relationships. The asymptotic distributions of estimators for single equation conditional linear relations are analyzed in conjunction with a Monte Carlo study. The results confirm the important role of weak ...Expand abstract
- Publication status:
- Peer review status:
- Peer reviewed
- Accepted Manuscript
- Copyright holder:
- Marcel Dekker, Inc.
- Copyright date:
- Copyright 1995 by Marcel Dekker, Inc. Published by Taylor & Francis. This is an author's Accepted Manuscript of article published in Econometric Reviews, v.14:issue.4(1995), available online at: http://www.tandfonline.com/doi/pdf/10.1080/07474939508800329
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