Exogeneity, cointegration, and economic policy analysis

被引：62
作者：
Ericsson, NR [1 ]
Hendry, DF
Mizon, GE
机构：
[1] Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA
[2] Univ Oxford Nuffield Coll, Oxford OX1 1NF, England
[3] Univ Southampton, Dept Econ, Southampton SO17 1BJ, Hants, England
[4] European Univ Inst, Dept Econ, I-50016 Florence, Italy
来源：
JOURNAL OF BUSINESS & ECONOMIC STATISTICS | 1998年 / 16卷 / 04期
关键词：
causality; equation inversion; impulse response analysis; invariance; Lucas critique; money demand;
D O I：
10.2307/1392607
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：370 / 387
页数：18
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