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On the Interactions of Unit Roots and Exogeneity.

Abstract:

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 ...

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Publication status:
Published
Peer review status:
Peer reviewed
Version:
Accepted Manuscript

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Publisher copy:
10.1080/07474939508800329

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Institution:
University of Oxford
Publisher:
Taylor & Francis Group Publisher's website
Journal:
Econometric Reviews Journal website
Volume:
14
Issue:
4
Publication date:
1995
DOI:
URN:
uuid:693cafdc-0c86-4af8-a415-053830cf718f
Local pid:
oai:economics.ouls.ox.ac.uk:10410
Language:
English

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