9783540566397 - Exogeneity in Error Correction Models (Lecture Notes in Economics and Mathematical Systems): 398 di Urbain, Jean-Pierre (13 risultati)

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Softcover. 189 S. Ehem. Bibliotheksexemplar mit Signatur und Stempel. GUTER Zustand, ein paar Gebrauchsspuren. Ex-library with stamp and library-signature. GOOD condition, some traces of use. L07851 3540566392 Sprache: Englisch Gewicht in Gramm: 370.

Taschenbuch. Condizione: Neu. Druck auf Anfrage Neuware - Printed after ordering - In the recent years, the study of cointegrated time seriesand the use of error correction models have become extremelypopular in the econometric literature. This book provides ananalysis of the notion of (weak) exogeneity, which isnecessary to sustain valid inference in sub-systems, intheframework of error correction models (ECMs).In many practical situations, the applied econometricianwants to introduce 'structure' on his/her model in order toget economically meaningful coefficients. For thispurposeECMs in structural form provide an appealing frameworkallowing the researcher to introduce (theoreticallymotivated) identification restrictions on the long runrelationships. In this case, the validity of the inferencewill depend on a number of conditions which are investigatedhere. In particular,we point out that orthogonality testsoften used to test for weak exogeneity or for generalmisspecification, behave poorly in finite samples and areoften not very useful in cointegrated systems.

Taschenbuch. Condizione: Neu. Exogeneity in Error Correction Models | Jean-Pierre Urbain | Taschenbuch | Lecture Notes in Economics and Mathematical Systems | xi | Englisch | 1993 | Springer | EAN 9783540566397 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu.

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Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -In the recent years, the study of cointegrated time seriesand the use of error correction models have become extremelypopular in the econometric literature. This book provides ananalysis of the notion of (weak) exogeneity, which isnecessary to sustain valid inference in sub-systems, intheframework of error correction models (ECMs).In many practical situations, the applied econometricianwants to introduce 'structure' on his/her model in order toget economically meaningful coefficients. For thispurpose,ECMs in structural form provide an appealing framework,allowing the researcher to introduce (theoreticallymotivated) identification restrictions on the long runrelationships. In this case, the validity of the inferencewill depend on a number of conditions which are investigatedhere. In particular,we point out that orthogonality tests,often used to test for weak exogeneity or for generalmisspecification, behave poorly in finite samples and areoften not very useful in cointegrated systems. 212 pp. Englisch.

Condizione: New. Print on Demand pp. x + 189.

Condizione: New. PRINT ON DEMAND pp. x + 189.

Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. In the recent years, the study of cointegrated time seriesand the use of error correction models have become extremelypopular in the econometric literature. This book provides ananalysis of the notion of (weak) exogeneity, which isnecessary to.

Taschenbuch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -In the recent years, the study of cointegrated time seriesand the use of error correction models have become extremelypopular in the econometric literature. This book provides ananalysis of the notion of (weak) exogeneity, which isnecessary to sustain valid inference in sub-systems, intheframework of error correction models (ECMs).In many practical situations, the applied econometricianwants to introduce 'structure' on his/her model in order toget economically meaningful coefficients. For thispurposeECMs in structural form provide an appealing frameworkallowing the researcher to introduce (theoreticallymotivated) identification restrictions on the long runrelationships. In this case, the validity of the inferencewill depend on a number of conditions which are investigatedhere. In particular,we point out that orthogonality testsoften used to test for weak exogeneity or for generalmisspecification, behave poorly in finite samples and areoften not very useful in cointegrated systems.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 212 pp. Englisch.