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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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  • Chow, Gregory C, 1993. "A Two-Step Procedure for Estimating Linear Simultaneous Equations with Unit Roots," The Review of Economics and Statistics, MIT Press, vol. 75(1), pages 107-111, February.
    • Handle: RePEc:tpr:restat:v:75:y:1993:i:1:p:107-11
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    Cited by:

    1. Browne, F.X. & Fagan, G. & Henry, J., 1997. "Money Demand in EU Countries : A Survey," Papers 7, European Monetary Institute.
    2. Gregory C. Chow, 2003. "Econometrics and Economic Policy," Econometrics 0306004, University Library of Munich, Germany.
    3. repec:adr:anecst:y:1995:i:40:p:06 is not listed on IDEAS
    4. Uctum, Merih, 1999. "European integration and asymmetry in the EMS," Journal of International Money and Finance, Elsevier, vol. 18(5), pages 769-798, October.
    5. Canning, David, 1998. "A database of world infrastructure stocks, 1950-95," Policy Research Working Paper Series 1929, The World Bank.

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