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A Two-Step Procedure for Estimating Linear Simultaneous Equations with Unit Roots

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  • Chow, Gregory C

Abstract

A two-step procedure for estimating linear simultaneous structural equations with unit roots is presented. It generalizes the procedure of differencing for univariate time series via G. Box and J. M. Jenkins (1970). First, one finds the number of unit roots and the canonical variables that are stationary. Second, one retains only the stationary canonical variables and estimates a stationary model by standard methods. The procedure is easy to use. It is robus t against the difficult testing problem of finding the correct number of unit roots. A multiplier-accelerator model is estimated with interesting conclusions. Copyright 1993 by MIT Press.

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Bibliographic Info

Article provided by MIT Press in its journal Review of Economics & Statistics.

Volume (Year): 75 (1993)
Issue (Month): 1 (February)
Pages: 107-11

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Handle: RePEc:tpr:restat:v:75:y:1993:i:1:p:107-11

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Web page: http://mitpress.mit.edu/journals/

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Web: http://mitpress.mit.edu/journal-home.tcl?issn=00346535

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Cited by:
  1. Frank Browne & Gabriel Fagan & Jerome Henry, 2005. "Money Demand in EU Countries: A Survey," Macroeconomics 0503004, EconWPA.
  2. Uctum, Merih, 1999. "European integration and asymmetry in the EMS," Journal of International Money and Finance, Elsevier, vol. 18(5), pages 769-798, October.
  3. Gregory C. Chow, 2003. "Econometrics and Economic Policy," Econometrics 0306004, EconWPA.
  4. Canning, David, 1998. "A database of world infrastructure stocks, 1950-95," Policy Research Working Paper Series 1929, The World Bank.

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