A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
提出适用于不同高阶积分变量和确定性成分的协整向量有效估计量，可用GLS或OLS计算，并用于研究美国长期货币需求，发现1900-1989年M1需求稳定。
Efficient estimators of cointegrating vectors are presented for systems involving deterministic components and variables of differing, higher orders of integration. The estimators are computed using GLS or OLS, and Wald Statistics constructed from these estimators have asymptotic x2 distributions. These and previously proposed estimators of cointegrating vectors are used to study long-run U.S. money (Ml) demand. Ml demand is found to be stable over 1900-1989; the 95% confidence intervals for the income elasticity and interest rate semielasticity are (.88,1.06) and (-.13, -.08), respectively. Estimates based on the postwar data alone, however, are unstable, with variances which indicate substantial sampling uncertainty.