Kleibergen, Frank; van Dijk, Herman K.; Urbain, J-P. - Faculteit der Economische Wetenschappen, Erasmus … - 1997
The effect which the oil price time series has on the long run properties of Vector AutoRegressive (VAR) models for price levels and import demand is investigated. As the oil price variable is assumed to be weakly exogenous for the long run parameters, a cointegration testing procedure allowing...
