Structural Error Correction Models: A System Method for Linear Rational Expectations Models and an Application to an Exchange Rate Model
开发了一种系统工具变量方法，用于估计线性理性预期模型中结构误差修正模型的调整速度系数，并将其应用于粘性价格汇率模型，发现系统方法比单方程方法得到更小的半衰期估计和更精确的标准误。
This paper develops a system instrumental variable method to estimate the speed of adjustment coefficient in the long‐run equilibrium of structural error correction models for a class of linear rational expectations models. This method is applied to an exchange rate model with sticky prices, in which the speed of adjustment coefficient governs the half‐life of the real exchange rate. Compared to single equation methods, the system method gives smaller half‐life estimates with sharper standard errors.