Partial Systems and Hypotheses on α

Søren Johansen

in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Published in print December 1995 | ISBN: 9780198774501
Published online November 2003 | e-ISBN: 9780191596476 | DOI:

Series: Advanced Texts in Econometrics

 							Partial Systems and Hypotheses on α

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We discuss briefly partial systems, i.e. systems which are formulated as conditional models of some variables, the endogenous, given others, the exogenous. Such models are discussed in the framework of the autoregressive model with focus on the notion of weak exogeneity. Hypotheses on the adjustment coefficients are discussed.

Keywords: adjustment coefficients; partial systems; weak exogeneity

Chapter.  5276 words. 

Subjects: Econometrics and Mathematical Economics

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