Applied cointegration analysis in the mirror of macroeconomic theory
用理论模型检验了应用协整分析的常见做法，蒙特卡洛实验发现：协整向量检验在均衡周期模型生成的数据上表现不佳，协整限制对预测帮助不大，基于弱长期限制的结构VAR模型效果较好。
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 to 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.