TESTING WEAK EXOGENEITY AND THE ORDER OF COINTEGRATION IN UK MONEY DEMAND DATA

被引：244

作者：

JOHANSEN, S ^{[1
]}

机构：

[1] UNIV HELSINKI,DEPT STAT,SF-00100 HELSINKI 10,FINLAND

来源：

JOURNAL OF POLICY MODELING | 1992年 / 14卷 / 03期

关键词：

D O I：

10.1016/0161-8938(92)90003-U

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper discusses autoregressive models allowing for processes integrated of order 2 and the various types of cointegration that can occur. A statistical analysis of such models that allows for the determination of the order of integration and the cointegrating ranks is outlined. The notion of weak exogeneity is discussed for I(1) processes. The results are illustrated by the UK money data of Hendry and Ericsson (1991).

引用

页码：313 / 334

页数：22

共 18 条

[1] NESTED REDUCED-RANK AUTOREGRESSIVE MODELS FOR MULTIPLE TIME-SERIES [J].