Cointegration, long-run structural modelling and weak exogeneity: Two models of the UK economy

J.P.A.M. Jacobs, K.F. Wallis

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9 Citaten (Scopus)

Samenvatting

Cointegration ideas as introduced by Granger in 1981 are commonly embodied in empirical macroeconomic modelling through the vector error correction model (VECM). It has become common practice in these models to treat some variables as weakly exogenous, resulting in conditional VECMs. This paper studies the consequences of different approaches to weak exogeneity for the dynamic properties of such models, in the context of two models of the UK economy, one a national-economy model, the other the UK submodel of a global model. Impulse response and common trend analyses are shown to be sensitive to these assumptions and other specification choices. (C) 2010 Elsevier B.V. All rights reserved.
Originele taal-2English
Pagina's (van-tot)108-116
Aantal pagina's9
TijdschriftJournal of Econometrics
Volume158
Nummer van het tijdschrift1
DOI's
StatusPublished - sep-2010

Keywords

  • Cointegration
  • Macroeconometric modelling
  • Vector error correction model
  • Impulse response analysis
  • Weak exogeneity
  • MACROECONOMETRIC MODEL
  • SYSTEMS
  • PERMANENT

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