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International Finance Discussion Papers
The International Finance Discussion Papers logo links to the International Finance Discussion Papers home page Cointegration, Exogeneity, and Policy Analysis: An Overview
Neil R. Ericsson
1991-415  (November 1991)

Abstract:  This overview describes the concepts of cointegration and exogeneity, focusing on analytical structure, statistical inference, and implications for policy analysis. Examples help clarify the concepts. The remainder of the overview summarizes the articles in a special issue of the Journal of Policy Modeling entitled Cointegration, Exogeneity, and Policy Analysis.

Full paper(524 KB PDF)

Keywords
Cointegration, conditional models, error-correction models, exogeneity, parameter constancy, policy analysis, predictive accuracy

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