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Further results on weak-exogeneity in vector error correction models

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Abstract

This paper provides a necessary and sufficient condition for weak exogeneity in vector error correction models. An interesting property is that the statistics involved in the sequential procedure for testing this condition are distributed as ?ariables and can therefore easily be calculated with usual statistical computer packages, which makes our approach fully operational empirically. Finally, the power and size distortions of this sequential test procedure are analysed with Monte-Carlo simulations

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