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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.

Record type: Article


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.

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Published date: 1998
Keywords: causality, equation inversion, impulse response analysis, invariance, lucas critique, money demand


Local EPrints ID: 32881
ISSN: 0735-0015
PURE UUID: d813c307-bdaf-47f4-984b-c4dbb7b4db86

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Date deposited: 25 Jul 2006
Last modified: 17 Jul 2017 15:54

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Author: Neil R. Ericsson
Author: David F. Hendry
Author: Grayham E. Mizon

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