A pitfall in joint stationarity, weak exogeneity and autoregressive distributed lag models

We prove weak exogeneity is an not an impossibility with an ADL structure in the marginal and in the conditional. We show that joint stationarity requirements is driving such common belief

Country

Portugal

Related Organizations

ISMAI
Portugal

Keywords

weak exogeneity joint stationarity conditional models ADL models variation free, jel: jel:C2, jel: jel:C5

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