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Cointegration and Dynamic Simultaneous Equations Model Author info | Abstract | Publisher info | Download info | Related research | Statistics Cheng Hsiao
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The author demonstrates that despite variables that are integrated, the fundamental issues on structural equation modeling raised by the Cowles Commission remain valid and standard estimation and testing procedures can still be applied. A basic framework linking the multiple time series model and the dynamic simultaneous equation model is provided and implications under the long-run cointegrating relations are discussed. Conditions for identifying both the short-run dynamics and long-run equilibrium conditions are given. Limiting properties of the least squares and simultaneous equation estimators under cointegration are derived. Implications for hypothesis testing are also discussed.
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Article provided by Econometric Society in its journal Econometrica .
Volume (Year): 65 (1997)
Issue (Month): 3 (May)
Pages: 647-670
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Handle: RePEc:ecm:emetrp:v:65:y:1997:i:3:p:647-670Contact details of provider: Phone: 1 212 998 3820 Fax: 1 212 995 4487 Email: Web page: http://www.econometricsociety.org/ More information through EDIRC
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