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Exogeneity, Cointegration, and Economic Policy Analysis.

Abstract:

This overview examines conditions for reliable economic policy analysis based on econometric models, focusing on the econometric concepts of exogeneity, cointegration, causality, and invariance. Weak, strong, and super exogeneity are discussed in general and these concepts are then applied to the use of econometric models in policy analysis when the variables are cointegrated. Implications follow for model constancy, the Lucas critique, equation inversion, and impulse response analysis. A sma...

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Authors


Neil R Ericsson More by this author
David F Hendry More by this author
Grayham E Mizon More by this author
Journal:
Journal of Business and Economic Statistics
Volume:
16
Issue:
4
Publication date:
1998
URN:
uuid:9a3dfe9d-8631-447a-8e59-b271e9e85893
Local pid:
oai:economics.ouls.ox.ac.uk:10835
Language:
English

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