A note on weak exogeneity in VAR cointegrated models

Separation , Weak Exogeneity and P - T Decomposition in Cointegrated VAR Systems with Common Features

Weak exogeneity in the financial point processes

This paper analyses issues related to weak exogeneity in a financial point process. We extend the Hausman test of weak exogeneity in a time series model and propose three cases in which weak exogeneity conditions will break down. The simulation study suggested that a failure of the exogeneity assumption implied biased estimators. The bias is very large in the third case non-weak exogeneity, whi...

A Note on Testing Exogeneity of Instrumental Variables (draft Paper)

A note on weak dividing

We study the notion of weak dividing introduced by S. Shelah. In particular we prove that T is stable iff weak dividing is symmetric. In order to study simple theories Shelah originally defined weak dividing in [6] . This notion is overshadowed by that of dividing, as the first author proved that dividing is the right well-behaved notion for simple theories [2],[3],[5],and [4]. However Dolich’s...

Interpreting Cointegrated Models

Error-correction models for cointegrated economic variables are commonly interpreted as reflecting partial adjustment of one variable to another. We show that error-correction models may also arise because one variable forecasts another. Reduced-form estimates of error-correction models cannot be used to distinguish these interpretations. In an application, we show that the estimated coefficien...