LONG-RUN STRUCTURAL MODELLING
提出了一个处理协整系统中非线性与跨方程约束的识别、估计和检验框架，证明了QMLE的一致性，并应用于英国季度需求系统，发现相对价格和人均支出并非外生。
The paper develops a general framework for identification, estimation, and hypothesis testing in cointegrated systems when the cointegrating coefficients are subject to (possibly) non-linear and cross-equation restrictions, obtained from economic theory or other relevant a priori information. It provides a proof of the consistency of the quasi maximum likelihood estimators (QMLE), establishes the relative rates of convergence of the QMLE of the short-run and the long-run parameters, and derives their asymptotic distributions; thus generalizing the results already available in the literature for the linear case. The paper also develops tests of the over-identifying (possibly) non-linear restrictions on the cointegrating vectors. The estimation and hypothesis testing procedures are applied to an Almost Ideal Demand System estimated on U.K. quarterly observations. Unlike many other studies of consumer demand this application does not treat relative prices and real per capita expenditures as exogenously given.