SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES

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...

Estimating Cross-Sectionally Dependent Panels with Weak Exogeneity

In this paper we propose moment estimators for cross-sectionally dependent panels where the explanatory variables are weakly exogenous. The methods considered allow N-consistent estimation of dynamic panels with general cross-sectional dependence which no existing techniques can handle. The method appears to work well even for T as low as five. We model CSD by a multifactor error-structure. Obs...

Identifying shocks in regionally integrated East Asian economies with structural VAR and block exogeneity

In this paper we use a structural VAR model with block exogeneity to investigate if external shocks originating from the USA played a dominant role in influencing the macroeconomic fluctuations in East Asia during the period 1978-2007. The empirical results show a dynamic effect of external shocks, implying that, even though regional integration appears to be deepening and accelerating, especia...

A unifying framework for analysing common cyclical features in cointegrated time series

This paper provides a unifying framework in which the coexistence of different form of common cyclical features can be tested and imposed to a cointegrated VAR model. This goal is reached by introducing a new notion of common cyclical features, namely the weak form of polynomial serial correlation common features, which encompasses most of the previous ones. Statistical inference is obtained by...