Exogeneity, causality, and co-breaking in economic policy analysis of a small econometric model of money in the UK
Hendry, David F. and Mizon, Grayham E. (1998) Exogeneity, causality, and co-breaking in economic policy analysis of a small econometric model of money in the UK. Empirical Economics, 23, (3), 267-294. (doi:10.1007/BF01294408).
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Description/Abstract
Since the objective of economic policy is to change target variables in the DGP, when economic policy analysis uses an econometric model, it is important that the model delivers reliable inferences about policy responses in the DGP. This requires that the model be congruent and encompassing, and hence exogeneity, causality, cointegration, co-breaking, and invariance all play major roles. We discuss these roles in linear cointegrated VARs, prior to illustrating their importance in a bivariate model of money and interest rates in the UK over the last century.
| Item Type: | Article |
|---|---|
| ISSNs: | 0377-7332 (print) |
| Related URLs: | |
| Keywords: | exogeneity, causality, invariance, cointegration, co-breaking, impulse responses, 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 |
| Item ID: | 32882 |
| Date Deposited: | 25 Jul 2006 |
| Last Modified: | 02 Mar 2012 12:05 |
| Contributors: | Hendry, David F. (Author) Mizon, Grayham E. (Author) |
| Date: | 1998 |
| Status: | Published |
| Contact Email Address: | grayham.mizon@soton.ac.uk |
| URI: | http://eprints.soton.ac.uk/id/eprint/32882 |
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