Exogeneity in Error Correction Models – Lecture Notes in Economics and Mathematical Systems

Description

In the recent years, the study of cointegrated time seriesand the use oferror correction models have become extremelypopular in the econometricliterature. 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).