International Finance Discussion Papers (IFDP)
November 1991
Cointegration, Exogeneity, and Policy Analysis: An Overview
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.
Keywords: Cointegration, conditional models, error-correction models, exogeneity, parameter constancy, policy analysis, predictive accuracy
PDF: Full Paper
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