Long-Run Structural Modelling

Mohammad Pesaran and Yongcheol Shin

Edinburgh School of Economics Discussion Paper Series from Edinburgh School of Economics, University of Edinburgh

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 maximum likelihood (ML) estimators, establishes the relative rates of convergence of the ML estimators of the short-run and the long-run parameters, and derives their asymptotic distribution; 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; testing non-linear restrictions; consistency; asymptotic distribution; almost ideal demand systems (search for similar items in EconPapers)
JEL-codes: C1 C3 D1 E1 (search for similar items in EconPapers)
Pages: 30
Date: 1999-04
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mic
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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http://www.econ.ed.ac.uk/papers/id44_esedps.pdf

Related works:
Journal Article: LONG-RUN STRUCTURAL MODELLING (2002)
Working Paper: Long-Run Structural Modelling (1995)
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Persistent link: https://EconPapers.repec.org/RePEc:edn:esedps:44

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