Cointegrating exogeneity
Economics LettersPublished 1 September 1990
John E. Hunter
Citations25
SJR quartileQ2
SJR score0.76
SNIP0.98
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Abstract
Cointegration exists in open loop systems, but existing theory provides no way to distinguish between cointegration amongst exogenous and endogenous variables. We provide a condition for distinguishing between such cointegration effects, that is also valid for open loop systems.
Keywords
Economics, Econometrics and Finance
EconometricaCo-Integration and Error Correction: Representation, Estimation, and Testing
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