Exogeneity, cointegration, and economic policy analysis

Ericsson, Neil R., Hendry, David F. and Mizon, Grayham E. (1998) Exogeneity, cointegration, and economic policy analysis. Journal of Business and Economic Statistics, 16, (4), 370-387.


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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.

Item Type: Article
Keywords: causality, equation inversion, impulse response analysis, invariance, lucas critique, money demand
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HB Economic Theory
H Social Sciences > HA Statistics
Divisions : University Structure - Pre August 2011 > School of Social Sciences > Economics
ePrint ID: 32881
Accepted Date and Publication Date:
Date Deposited: 25 Jul 2006
Last Modified: 31 Mar 2016 11:59
URI: http://eprints.soton.ac.uk/id/eprint/32881

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