On the Interactions of Unit Roots and Exogeneity.
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 relationshi...
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| Format: | Journal article |
| Language: | English |
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Taylor and Francis
1995
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| _version_ | 1797073466419052544 |
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| author | Hendry, D |
| author_facet | Hendry, D |
| author_sort | Hendry, D |
| collection | OXFORD |
| description | 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 exogeneity in single equation estimation from integrated-cointegrated data; highlight the advantages of using an asymptotic analysis to understand the complicated interactions observed; and reveal the accuracy of the limiting distributions in characterizing finite sample behavior. |
| first_indexed | 2024-03-06T23:22:34Z |
| format | Journal article |
| id | oxford-uuid:693cafdc-0c86-4af8-a415-053830cf718f |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T23:22:34Z |
| publishDate | 1995 |
| publisher | Taylor and Francis |
| record_format | dspace |
| spelling | oxford-uuid:693cafdc-0c86-4af8-a415-053830cf718f2022-03-26T18:50:01ZOn the Interactions of Unit Roots and Exogeneity.Journal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:693cafdc-0c86-4af8-a415-053830cf718fEnglishDepartment of Economics - ePrintsTaylor and Francis1995Hendry, DThe 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 exogeneity in single equation estimation from integrated-cointegrated data; highlight the advantages of using an asymptotic analysis to understand the complicated interactions observed; and reveal the accuracy of the limiting distributions in characterizing finite sample behavior. |
| spellingShingle | Hendry, D On the Interactions of Unit Roots and Exogeneity. |
| title | On the Interactions of Unit Roots and Exogeneity. |
| title_full | On the Interactions of Unit Roots and Exogeneity. |
| title_fullStr | On the Interactions of Unit Roots and Exogeneity. |
| title_full_unstemmed | On the Interactions of Unit Roots and Exogeneity. |
| title_short | On the Interactions of Unit Roots and Exogeneity. |
| title_sort | on the interactions of unit roots and exogeneity |
| work_keys_str_mv | AT hendryd ontheinteractionsofunitrootsandexogeneity |