Inference in Cointegrating Models: UK M1 Revisited
探讨协整秩的实际确定问题，分析确定性项、有限样本临界值、虚拟变量等难点，并以英国狭义货币、价格、产出和利率的小型模型为例进行实证应用。
The paper addresses the practical determination of cointegration rank. This is difficult for many reasons: deterministic terms play a crucial role in limiting distributions, and systems may not be formulated to ensure similarity to nuisance parameters; finite‐sample critical values may differ from asymptotic equivalents; dummy variables alter critical values, often greatly; multiple cointegration vectors must be identified to allow inference; the data may be I(2) rather than I(1), altering distributions; and conditioning must be done with care. These issues are illustrated by an empirical application of multivariate cointegration analysis to a small model of narrow money, prices, output and interest rates in the UK.