Exogeneity, Cointegration, and Economic Policy Analysis.
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 us...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
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American Statistical Association
1998
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| _version_ | 1797084159603113984 |
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| author | Ericsson, N Hendry, D Mizon, G |
| author_facet | Ericsson, N Hendry, D Mizon, G |
| author_sort | Ericsson, N |
| collection | OXFORD |
| description | 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 small money-demand model for the United Kingdom illustrates the main analytical points. This article then summarizes the other articles in this issue's special section on exogeneity, cointegration, and economic policy analysis. |
| first_indexed | 2024-03-07T01:51:28Z |
| format | Journal article |
| id | oxford-uuid:9a3dfe9d-8631-447a-8e59-b271e9e85893 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T01:51:28Z |
| publishDate | 1998 |
| publisher | American Statistical Association |
| record_format | dspace |
| spelling | oxford-uuid:9a3dfe9d-8631-447a-8e59-b271e9e858932022-03-27T00:19:58ZExogeneity, Cointegration, and Economic Policy Analysis.Journal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:9a3dfe9d-8631-447a-8e59-b271e9e85893EnglishDepartment of Economics - ePrintsAmerican Statistical Association1998Ericsson, NHendry, DMizon, GThis 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 small money-demand model for the United Kingdom illustrates the main analytical points. This article then summarizes the other articles in this issue's special section on exogeneity, cointegration, and economic policy analysis. |
| spellingShingle | Ericsson, N Hendry, D Mizon, G Exogeneity, Cointegration, and Economic Policy Analysis. |
| title | Exogeneity, Cointegration, and Economic Policy Analysis. |
| title_full | Exogeneity, Cointegration, and Economic Policy Analysis. |
| title_fullStr | Exogeneity, Cointegration, and Economic Policy Analysis. |
| title_full_unstemmed | Exogeneity, Cointegration, and Economic Policy Analysis. |
| title_short | Exogeneity, Cointegration, and Economic Policy Analysis. |
| title_sort | exogeneity cointegration and economic policy analysis |
| work_keys_str_mv | AT ericssonn exogeneitycointegrationandeconomicpolicyanalysis AT hendryd exogeneitycointegrationandeconomicpolicyanalysis AT mizong exogeneitycointegrationandeconomicpolicyanalysis |