Working Paper

Cointegration, exogeneity, and policy analysis: an overview


Abstract: This overview describes the concepts of cointegration and exogeneity, focusing on analytical structure, statistical inference, and implications for policy analysis. Examples help clarify the concepts. The remainder of the overview summarizes the articles in a special issue of the Journal of Policy Modeling entitled Cointegration, Exogeneity, and Policy Analysis.

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File(s): File format is application/pdf http://www.federalreserve.gov/pubs/ifdp/1991/415/ifdp415.pdf

Authors

Bibliographic Information

Provider: Board of Governors of the Federal Reserve System (U.S.)

Part of Series: International Finance Discussion Papers

Publication Date: 1991

Number: 415