Weak exogeneity in partially nonstationary models

This paper is dedicated to analysing the conditions for weak exogeneity in partially nonstationary models. After adopting a particular identification regime which is based on a triangularization of the parameters of the cointegration relations, we show that the conditions for weak exogeneity developed in the literature can be stated in terms of the parameters of the so-called structural form. This alternative presentation of the conditions permits new interpretations and provides fresh insights on how to test the exogeneity hypothesis.