| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP154 |
| DP154 Dynamic Specification, the Long Run and the Estimation of Transformed Regression Models | |
| Michael R. Wickens; Trevor S Breusch | |
| 发表日期 | 1987-02-01 |
| 出版年 | 1987 |
| 语种 | 英语 |
| 摘要 | This paper discusses the best way to formulate and estimate a dynamic econometric model when interest focuses mainly upon its long-run properties. Using results derived for the more general context of transformed regression models, it is shown how point estimates and the standard errors of long-run multipliers and long-run structural coefficients can be obtained using standard estimation methods. It is argued that such formulations are preferable to other specifications such as the error correction model. If the explanatory variables that enter the long-run solution are trend-stationary then it is found that no harm is done to the asymptotic properties of the long-run coefficients by omitting short-run dynamics entirely, though this is not recommended in practice. The results of this paper are related to the concept of co-integration and to the work of Engle and Granger. Finally, a new methodology for the construction of dynamic models is proposed. |
| 关键词 | Co integration Co integration theory Dynamic specification Long-run models Non-stationary time series |
| URL | https://cepr.org/publications/dp154 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/529310 |
| 推荐引用方式 GB/T 7714 | Michael R. Wickens,Trevor S Breusch. DP154 Dynamic Specification, the Long Run and the Estimation of Transformed Regression Models. 1987. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
