LONG-RUN STRUCTURAL MODELLING

DOI10.1081/ETC-120008724zbMath1104.91061MaRDI QIDQ4817927

M. Hashem Pesaran, Yongcheol Shin

Publication date: 21 September 2004

Published in: Econometric Reviews (Search for Journal in Brave)

zbMATH Keywords

identificationasymptotic distributionconsistencycointegrationQMLEalmost ideal demand systemstesting nonlinear restrictions

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Consumer behavior, demand theory (91B42)

Related Items (12)

Frequency domain estimation of temporally aggregated Gaussian cointegrated systems ⋮ Cointegration and speed of convergence to equilibrium ⋮ Generalized impulse response analysis in linear multivariate models ⋮ A Wald test of restrictions on the cointegrating space based on Johansen's estimator ⋮ Multi-equational linear quadratic adjustment cost models with rational expectations and cointe\-gration ⋮ Testing the long-run structural validity of the monetary exchange rate model ⋮ A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables ⋮ Cointegration, long-run structural modelling and weak exogeneity: two models of the UK economy ⋮ ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION ⋮ Structural relations, cointegration and identification: Some simple results and their application ⋮ Regression-based analysis of cointegration systems ⋮ On the identification of cointegrated systems in small samples: a modelling strategy with an application to UK wages and prices.

Uses Software

• Microfit

Cites Work

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• Statistical analysis of cointegration vectors
• Asymptotic theory of nonlinear least squares estimation
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• Generic uniform convergence and equicontinuity concepts for random functions. An exploration of the basic structure
• Structural analysis of vector error correction models with exogenous \(I(1)\) variables
• Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
• The Lagrangian Multiplier Test
• Optimal Inference in Cointegrated Systems
• Multiple Time Series Regression with Integrated Processes
• Testing for a unit root in time series regression
• Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Stochastic Limit Theory
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Fully Modified Least Squares and Vector Autoregression
• Identification in Parametric Models
• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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