INTRODUCTION This paper investigates the properties of estimators of claimed long-run relationships between integrated processes based on static models. The relationships involved are asserted to have the long-run or equilibrium property that deviations from them are bounded (in a statistical sense). This assertion is tested, and the associated coefficients are estimated, by fitting static regressions. Our concern is to assess the relevance for econometric practice of recent asymptotic theory in this area. This task is a topical one. Hypothesized long-run relationships such as the quantity theory and the Fisher effect are familiar in macroeconomics. Lucas (1980), Whiteman (1984), Summers (1983, 1984), McCallum (1984) and others have debated the usefulness of estimating these relationships using static models. The theory of cointegration developed by Granger and Engle (1985) shows how tests for the existence of equilibrium relationships can be constructed using these models. Our interest is primarily in their suggestion that static ordinary least squares regressions in some cases also may be used to parameterize such relationships. Thus we mainly consider a simple data generation process (we shall use the abbreviation DGP), discussed by Granger and Engle, in which the null hypothesis is that two time series are comtegrated. Using
Oxford Bulletin of Economics & Statistics – Wiley
Published: Aug 1, 1986
It’s your single place to instantly
discover and read the research
that matters to you.
Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.
All for just $49/month
Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly
Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.
Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.
Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.
All the latest content is available, no embargo periods.
“Hi guys, I cannot tell you how much I love this resource. Incredible. I really believe you've hit the nail on the head with this site in regards to solving the research-purchase issue.”Daniel C.
“Whoa! It’s like Spotify but for academic articles.”@Phil_Robichaud
“I must say, @deepdyve is a fabulous solution to the independent researcher's problem of #access to #information.”@deepthiw
“My last article couldn't be possible without the platform @deepdyve that makes journal papers cheaper.”@JoseServera