scholarly journals Stock Prices, News, and Economic Fluctuations: Comment

2014 ◽  
Vol 104 (4) ◽  
pp. 1439-1445 ◽  
Author(s):  
André Kurmann ◽  
Elmar Mertens
Keyword(s):  
Error Correction ◽  
Unique Solution ◽  
Stock Prices ◽  
News Shocks ◽  
Error Correction Models ◽  
Vector Error Correction ◽  
Identification Scheme ◽  
Vector Error ◽  
Long Run ◽  
Vector Error Correction Models

Beaudry and Portier (2006) propose an identification scheme to study the effects of news shocks about future productivity in vector error correction models (VECMs). This comment shows that, when applied to their VECMs with more than two variables, the identification scheme does not have a unique solution. The problem arises from a particular interplay of cointegration assumptions and long-run restrictions. (JEL E32, E44, G12, G14)

scholarly journals Further Results on Weak Exogeneity in Vector Error Correction Models

2005 ◽  
Vol 25 (2) ◽  
pp. 159
Author(s):  
Christophe Rault
Keyword(s):  
Error Correction ◽  
Interesting Property ◽  
Necessary And Sufficient Condition ◽  
Error Correction Models ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Weak Exogeneity ◽  
Vector Error Correction Models ◽  
Necessary And Sufficient

This paper extends the result for non-causality and strong exogeneity of Pradel and Rault and Pradel (2003) Exogeneity in VAR-ECM models with purely exogenous long-run paths, Oxford Bulletin of Economics and Statistics to weak exogeneity. More precisely, it 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 χ2 variables and can therefore be easily calculated with usual statistical computer packages, which makes our approach fully operational empirically

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