Applied cointegration analysis in the mirror of macroeconomic theory
用理论模型审视应用协整分析中的常见做法，蒙特卡洛实验发现：部分协整向量检验效果不佳、协整约束对预测帮助不大、基于弱长期约束的结构VAR模型表现良好。
Cointegration analyses of macroeconomic time series are often not based on fully specified theoretical models. We use a theoretical model to scrutinize common procedures in applied cointegration analysis. Monte Carlo experiments show that (1) some tests of the cointegration vectors do not work well on series generated by an equilibrium business cycle model; (2) cointegration restrictions add little in forecasting; (3) structural VAR models based on weak long run restrictions seem to work well. The main disadvantages of cointegration analysis without strong links to economic theory are that it makes it hard to estimate and interpret the cointegration vectors.