Estimating Long-Run Economic Equilibria

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ID: 301726
1991
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Abstract
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).
Reference Key
openalex_W1546877737 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Peter C.B. Phillips, Mico Loretan
Journal The Review of Economic Studies
Year 1991
DOI
10.2307/2298004
URL
https://doi.org/10.2307/2298004
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