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), pp. 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
ISSNs: 0735-0015 (print)
Keywords: causality, equation inversion, impulse response analysis, invariance, lucas critique, money demand

ePrint ID: 32881
Date :
Date Event
Date Deposited: 25 Jul 2006
Last Modified: 16 Apr 2017 22:18
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/32881

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