Exogeneity, causality, and co-breaking in economic policy analysis of a small econometric model of money in the UK
Exogeneity, causality, and co-breaking in economic policy analysis of a small econometric model of money in the UK
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.
exogeneity, causality, invariance, cointegration, co-breaking, impulse responses, money demand
267-294
Hendry, David F.
9c76f1f4-5773-4a45-9778-6ea40af72958
Mizon, Grayham E.
2b8353b4-0af4-48db-b552-6867dc1f4583
1998
Hendry, David F.
9c76f1f4-5773-4a45-9778-6ea40af72958
Mizon, Grayham E.
2b8353b4-0af4-48db-b552-6867dc1f4583
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), .
(doi:10.1007/BF01294408).
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.
This record has no associated files available for download.
More information
Published date: 1998
Keywords:
exogeneity, causality, invariance, cointegration, co-breaking, impulse responses, money demand
Identifiers
Local EPrints ID: 32882
URI: http://eprints.soton.ac.uk/id/eprint/32882
ISSN: 0377-7332
PURE UUID: f68f4924-5742-4cac-9bfb-51a51acd2d96
Catalogue record
Date deposited: 25 Jul 2006
Last modified: 15 Mar 2024 07:40
Export record
Altmetrics
Contributors
Author:
David F. Hendry
Author:
Grayham E. Mizon
Download statistics
Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.
View more statistics