Estimating Long-Run Economic Equilibria
研究含随机趋势模型中长期经济均衡的估计与推断，分析多种协整系统估计量，重点讨论Hendry的单方程误差修正模型，提出非线性设定等实证建议，并通过模拟验证。
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).