 LONG-RUN STRUCTURAL MODELLINGMohammad Pesaran and Yongcheol Shin Econometric Reviews, 2002, vol. 21, issue 1, 49-87 Abstract: 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. Keywords: Cointegration; Identification; QMLE; Consistency; Asymptotic distribution; testing non-linear restrictions; Almost Ideal Demand Systems; JEL Classifications: C1; C3; D1; E1 (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:21:y:2002:i:1:p:49-87 Ordering information: This journal article can be ordered from Access Statistics for this article Econometric Reviews is currently edited by Dr. Essie Maasoumi More articles in Econometric Reviews from Taylor & Francis Journals |
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