Testing Steady-State Restrictions of Linear Rational Expectations Models when Data are Highly Persistent*
讨论了在具有潜在驱动变量的理性预期模型中如何设定稳态约束，并利用协整技术检验其有效性。通过检验新凯恩斯模型不同设定的稳态约束，展示了该方法能区分永久冲击来源的不同假设。
Steady-state restrictions are commonly imposed on highly persistent variables to achieve stationarity prior to confronting rational expectations models with data. However, the resulting steady-state deviations are often surprisingly persistent indicating that some aspects of the underlying theory may be empirically problematic. This paper discusses how to formulate steady-state restrictions in rational expectations models with latent forcing variables and test their validity using cointegration techniques. The approach is illustrated by testing steady-state restrictions for alternative specifications of the New Keynesian model and shown to be able to discriminate between different assumptions on the sources of the permanent shocks.