Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte-Carlo Evidence
Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte-Carlo Evidence
复制标题
通过静态模型探索计量经济学中的均衡关系：一些蒙特卡罗证据
DOI：
10.1111/j.1468-0084.1986.mp48003005.x
复制
发表时间：
2009
影响因子：
2.5
通讯作者：
Gregor W. Smith
中科院分区：
文献类型：
--
作者：
A. Banerjee;J. Dolado;D. Hendry;Gregor W. Smith
本文研究了基于静态模型的集成流程之间声称的长期关系的估计器的属性。它断言所涉及的关系具有长期或均衡特性，偏离它们是有限的。通过拟合静态回归来测试断言并估计相关系数。本文评估了该领域最新渐近理论与计量经济学实践的相关性。它通过静态模型提供了计量经济学中均衡关系的一些蒙特卡罗证据。
The article investigates the properties of estimators of claimed long-run relationships between integrated processes based on static models. It asserts that the relationships involved have the long-run or equilibrium property that deviations from them are bounded. The assertion is tested, and the associated coefficients are estimated, by fitting static regressions. The article assesses the relevance for econometric practice of recent asymptotic theory in this area. It provides some Monte Carlo evidence of the equilibrium relationships in econometrics through static models.
影响因子：
6.1
作者：
J. Stock
通讯作者：
J. Stock