The DOI matches its Crossref record; 36 of the 36 references it cites were found in a registry or an index.
Estimating Long-Run Economic Equilibria
Abstract
Our 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. We study in detail the single-equation ECM (SEECM) approach of Hendry. Our 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 Phillips and Hansen (1990).
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Cites
Co-integration and error correction: representation, estimation and testing
Engle, R. F., & Granger, C. W. J. (1987) · Econometrica · doi:10.2307/1913236 · Cited by 32,007
An Algorithm for Least-Squares Estimation of Nonlinear Parameters
Marquardt, D. W. (1963) · Journal of the Society for Industrial and Applied Mathematics · doi:10.1137/0111030 · Cited by 30,728
Testing for a unit root in time series regression
PHILLIPS, P. C. B., & PERRON, P. (1988) · Biometrika · doi:10.1093/biomet/75.2.335 · Cited by 19,155
Self-citationSTATISTICAL ANALYSIS OF COINTEGRATION VECTORS
Johansen, S. (1988) · Journal of Economic Dynamics and Control · doi:10.1016/0165-1889(88)90041-3 · Cited by 17,027
Sims, C. A. (1980) · Econometrica · doi:10.2307/1912017 · Cited by 12,727
Spurious regressions in econometrics
Granger, C. W. J., & Newbold, P. (1974) · Journal of Econometrics · doi:10.1016/0304-4076(74)90034-7 · Cited by 6,200
Statistical Inference in Instrumental Variables Regression with I(1) Processes
Phillips, P. C. B., & Hansen, B. E. (1990) · The Review of Economic Studies · doi:10.2307/2297545 · Cited by 4,909
Self-citationTesting for unit roots in autoregressive-moving average models of unknown order
SAID, S. E., & DICKEY, D. A. (1984) · Biometrika · doi:10.1093/biomet/71.3.599 · Cited by 3,418
Time Series Regression with a Unit Root
Phillips, P. C. B. (1987) · Econometrica · doi:10.2307/1913237 · Cited by 2,814
Self-citationMartingale Limit Theory and its Application.
Loynes, R. M., Hall, P., & Heyde, C. C. (1984) · Journal of the Royal Statistical Society. Series A (General) · doi:10.2307/2981599 · Cited by 2,685
Cited by
Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots
Campbell, J. Y., & Perron, P. (1991) · NBER Macroeconomics Annual · doi:10.1086/654163 · Cited by 1,255
On the Estimation and Inference of a Cointegrated Regression in Panel Data
Kao, C. D., & Chiang, M.-H. (1997) · SSRN Electronic Journal · doi:10.2139/ssrn.2379 · Cited by 518
The Fiscal-Monetary Policy and Economic Growth in Nigeria: Further Empirical Evidence
Adefeso, H. A., & Mobolaji, H. I. (2010) · Pakistan Journal of Social Sciences · doi:10.3923/pjssci.2010.137.142 · Cited by 93
The asymmetric effects of income and fuel price on air transport demand
Wadud, Z. (2014) · Transportation Research Part A: Policy and Practice · doi:10.1016/j.tra.2014.04.001 · Cited by 37
Metadata
- Authors
- Phillips, P. C. B., & Loretan, M.
- Venue
- The Review of Economic Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 1991-05
- Volume
- 58
- Issue
- 3
- Pages
- 407
- ISSN
- 0034-6527 (ISSN-L)
- OpenAlex
- W1546877737
- Cited by
- 853
- References
- 36
- FWCI
- 84.32
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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