Pradel, Jacqueline; Rault, Christophe - In: Oxford Bulletin of Economics and Statistics 65 (2003) 5, pp. 629-653
Existing exogeneity conditions of literature are only sufficient and imply 'overly strong' constraints on long-run parameters. This paper presents some new results on exogeneity in vector error correction models. A key concept of the analysis is the 'purely exogenous long-run path', i.e. a...