Exogeneity, Causality, and Co-breaking in Economic Policy Analysis of a Small Econometric Model of Money in the UK.
Since the objective of economic policy is to change target variables in the DGP, when economic policy analysis uses an econometric model, it is important that the model delivers reliable inferences about policy responses in the DGP. This requires that the model be congruent and encompassing, and hen...
| Κύριοι συγγραφείς: | , |
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| Μορφή: | Journal article |
| Γλώσσα: | English |
| Έκδοση: |
1998
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| _version_ | 1826261594419494912 |
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| author | Hendry, D Mizon, G |
| author_facet | Hendry, D Mizon, G |
| author_sort | Hendry, D |
| collection | OXFORD |
| description | Since the objective of economic policy is to change target variables in the DGP, when economic policy analysis uses an econometric model, it is important that the model delivers reliable inferences about policy responses in the DGP. This requires that the model be congruent and encompassing, and hence exogeneity, causality, cointegration, co-breaking, and invariance all play major roles. We discuss these roles in linear cointegrated VARs, prior to illustrating their importance in a bivariate model of money and interest rates in the UK over the last century. |
| first_indexed | 2024-03-06T19:23:50Z |
| format | Journal article |
| id | oxford-uuid:1b0a735c-0281-4461-b2c5-cda77f4a1f13 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T19:23:50Z |
| publishDate | 1998 |
| record_format | dspace |
| spelling | oxford-uuid:1b0a735c-0281-4461-b2c5-cda77f4a1f132022-03-26T10:58:01ZExogeneity, Causality, and Co-breaking in Economic Policy Analysis of a Small Econometric Model of Money in the UK.Journal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:1b0a735c-0281-4461-b2c5-cda77f4a1f13EnglishDepartment of Economics - ePrints1998Hendry, DMizon, GSince the objective of economic policy is to change target variables in the DGP, when economic policy analysis uses an econometric model, it is important that the model delivers reliable inferences about policy responses in the DGP. This requires that the model be congruent and encompassing, and hence exogeneity, causality, cointegration, co-breaking, and invariance all play major roles. We discuss these roles in linear cointegrated VARs, prior to illustrating their importance in a bivariate model of money and interest rates in the UK over the last century. |
| spellingShingle | Hendry, D Mizon, G Exogeneity, Causality, and Co-breaking in Economic Policy Analysis of a Small Econometric Model of Money in the UK. |
| title | Exogeneity, Causality, and Co-breaking in Economic Policy Analysis of a Small Econometric Model of Money in the UK. |
| title_full | Exogeneity, Causality, and Co-breaking in Economic Policy Analysis of a Small Econometric Model of Money in the UK. |
| title_fullStr | Exogeneity, Causality, and Co-breaking in Economic Policy Analysis of a Small Econometric Model of Money in the UK. |
| title_full_unstemmed | Exogeneity, Causality, and Co-breaking in Economic Policy Analysis of a Small Econometric Model of Money in the UK. |
| title_short | Exogeneity, Causality, and Co-breaking in Economic Policy Analysis of a Small Econometric Model of Money in the UK. |
| title_sort | exogeneity causality and co breaking in economic policy analysis of a small econometric model of money in the uk |
| work_keys_str_mv | AT hendryd exogeneitycausalityandcobreakingineconomicpolicyanalysisofasmalleconometricmodelofmoneyintheuk AT mizong exogeneitycausalityandcobreakingineconomicpolicyanalysisofasmalleconometricmodelofmoneyintheuk |