Dynamic Specification, the Long Run and the Estimation of Transformed Regression Models
AbstractThis paper discusses the best way to formulate and estimate a dynamic econometric model when interest focuses mainly upon its long-run properties. Using results derived for the more general context of transformed regression models, it is shown how point estimates and the standard errors of long-run multipliers and long-run structural coefficients can be obtained using standard estimation methods. It is argued that such formulations are preferable to other specifications such as the error correction model. If the explanatory variables that enter the long-run solution are trend-stationary then it is found that no harm is done to the asymptotic properties of the long-run coefficients by omitting short-run dynamics entirely, though this is not recommended in practice. The results of this paper are related to the concept of co-integration and to the work of Engle and Granger. Finally, a new methodology for the construction of dynamic models is proposed.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 154.
Date of creation: Feb 1987
Date of revision:
Contact details of provider:
Postal: Centre for Economic Policy Research, 77 Bastwick Street, London EC1V 3PZ.
Phone: 44 - 20 - 7183 8801
Fax: 44 - 20 - 7183 8820
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.