Efficient Estimation of the Seemingly Unrelated Regression Cointegration Model and Testing for Purchasing Power Parity
研究了含积分变量和平稳误差的似不相关线性模型的有效估计方法，提出了新估计量，并用于检验G-7国家购买力平价的比例性和对称性条件。
Abstract This paper studies the efficient estimation of seemingly unrelated linear models with integrated regressors and stationary errors. We consider two cases. The first one has no common regressor among the equations. In this case, we show that by adding leads and lags of the first differences of the regressors and estimating this augmented dynamic regression model by generalized least squares using the long-run covariance matrix, we obtain an efficient estimator of the cointegrating vector that has a limiting mixed normal distribution. In the second case we consider, there is a common regressor to all equations, and we discuss efficient minimum distance estimation in this context. Simulation results suggests that our new estimator compares favorably with others already proposed in the literature. We apply these new estimators to the testing of the proportionality and symmetry conditions implied by purchasing power parity (PPP) among the G-7 countries. The tests based on the efficient estimates easily reject the joint hypotheses of proportionality and symmetry for all countries with either the United States or Germany as numeraire. Based on individual tests, our results suggest that Canada and Germany are the most likely countries for which the proportionality condition holds, and that Italy and Japan for the symmetry condition relative to the United States.