Interpretation of Cointegrating Coefficients in the Cointegrated Vector Autoregressive Model*
通过反事实实验解释协整向量自回归模型中已识别的协整关系系数，利用模型动态实现长期变化，帮助理解系数含义。
Abstract Regression coefficients are interpreted by a counterfactual experiment. For simultaneous equations this experiment can be implemented if the coefficients are identified, and throws some light on the role of instruments and the method of indirect least squares. This paper discusses another counterfactual experiment in the vector autoregressive model in order to interpret the coefficients of an identified cointegrating relation. The dynamics of the model is used to implement a long‐run change by changing the current values. The counterfactual experiment can be conducted precisely when the cointegrating relation is identified.