A Two-Step Procedure for Estimating Linear Simultaneous Equations with Unit Roots
提出一种两步法来估计含单位根的线性联立方程，先找出单位根个数和平稳的典型变量，再仅用平稳变量进行标准估计。该方法易于使用且对单位根个数检验问题稳健，并用乘数加速模型展示了有趣结论。
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.