An Introduction to Bartlett Correction and Bias Reduction, Gauss M. Cordeiro; Francisco Cribari-Neto

Автор: Jean-Pierre Urbain
Название: Exogeneity in Error Correction Models
ISBN: 3540566392 ISBN-13(EAN): 9783540566397
Издательство: Springer
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Описание: In the recent years, the study of cointegrated time seriesand the use of error correction models have become extremelypopular in the econometric literature. 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).