Rault, Christophe - In: Economics Bulletin 31 (2011) 1, pp. 1-8
This note supplements the paper by Pradel and Rault (2003) "Exogeneity in VAR-ECM models with purely exogenous long-run paths", Oxford Bulletin of Economics and Statistics. In particuliar, we propose a condition to distinguish between cointegration amongst "endogenous" and "exogenous" variables...