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Estimating Long-run Economic Equilibria

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  • Phillips, Peter C B
  • Loretan, Mico

Abstract

The authors' 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. The authors study, in detail, the single-equation error-correction model (SEECM) approach of David Hendry. Their 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 P. B. C. Phillips and B. E. Hansen (1990). Copyright 1991 by The Review of Economic Studies Limited.

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Review of Economic Studies.

Volume (Year): 58 (1991)
Issue (Month): 3 (May)
Pages: 407-36
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Handle: RePEc:bla:restud:v:58:y:1991:i:3:p:407-36

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