ESTIMATING LONG-RUN ECONOMIC EQUILIBRIA

被引：341
|
作者：
PHILLIPS, PCB
LORETAN, M
机构：
[1] Cowles Foundation for Research in Economics, Yale University
来源：
REVIEW OF ECONOMIC STUDIES | 1991年 / 58卷 / 03期
基金：
美国国家科学基金会;
关键词：
D O I：
10.2307/2298004
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Our subject is estimation and inference concerning long-run economic equilibria in models with stochastic trends. An asymptotic theory is provided to analyze a menu of currently existing estimators of cointegrated systems. We study in detail the single-equation ECM (SEECM) approach of Hendry. Our theoretical results lead to prescriptions for empirical work, such as specifying SEECM’s nonlinearly and including lagged equilibrium relationships rather than lagged differences of the dependent variable as covariates. Simulations support these prescriptions, and point to problems of overfitting not encountered in the semiparametric approach of Phillips and Hansen (1990). © 1991 The Review of Economic Studies Limited.
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页码：407 / 436
页数：30
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