Journal article
On the Interactions of Unit Roots and Exogeneity.
- Abstract:
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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
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- Files:
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(Accepted manuscript, pdf, 220.6KB)
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- Publisher copy:
- 10.1080/07474939508800329
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Authors
Funding
Bibliographic Details
- Publisher:
- Taylor and Francis Publisher's website
- Journal:
- Econometric Reviews Journal website
- Volume:
- 14
- Issue:
- 4
- Pages:
- 383 - 419
- Publication date:
- 1995-01-01
- DOI:
- ISSN:
-
0747-4938
Item Description
- Language:
- English
- UUID:
-
uuid:693cafdc-0c86-4af8-a415-053830cf718f
- Local pid:
- oai:economics.ouls.ox.ac.uk:10410
- Deposit date:
- 2011-08-16
Related Items
Terms of use
- Copyright holder:
- Marcel Dekker, Inc
- Copyright date:
- 1995
- Notes:
- 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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