Cointegration and Dynamic Simultaneous Equations Model
论证了即使变量存在单位根，Cowles委员会提出的结构方程建模问题仍然有效，并提供了多时间序列模型与动态联立方程模型的联系框架，讨论了长期协整关系下的识别、估计和检验问题。
We demonstrate that despite variables that are integrated, the fundamental issues on structural equation modeling raised by the Cowles Commission remain valid and standard estimation and testing procedures can still be applied. A basic framework linking the multiple time series model and the dynamic simultaneous equation model is provided and implications under the long-run cointegrating relations are discussed. Conditions for identifying both the short-run dynamics and long-run equilibrium conditions are given. Limiting properties of the least squares and simultaneous equation estimators under cointegration are derived. Implications for hypothesis testing are also discussed.