A Simple Estimator of Cointegrating Vectors in Higher Order Cointegrated Systems-英文文献.pdf

Econometrica, Vol. 61, No. 4 (July, 1993), 783-820 A SIMPLE ESTIMATOR OF COINTEGRATING VECTORS IN HIGHER ORDER INTEGRATED SYSTEMS BY JAMES H. STOCK AND MARK W. WATSON1 Efficient estimators of cointegrating vectors are presented for systems involving deter- ministic components and variables of differing, higher orders of integration. The estima- tors are computed using GLS or OLS, and Wald Statistics constructed from these estimators have asymptotic x2 distributions. These and previously proposed estimators of cointegrating vectors are used to study long-run U.S. money (Ml) demand. Ml demand is found to be stable over 1900-1989; the 95% confidence intervals for the income elasticity and interest rate semielasticity are (.88,1.06) and (-.13, -.08), respectively. Estimates based on the postwar data alone, however, are unstable, with variances which indicate substantial sampling uncertainty. KEYWORDS: Error correction models, unit roots, money demand. 1. INTRODUCTION PARAMETERS DESCRIBING THE LONG-RUN RELATION between economic time series, such as the long-runincome and interest elasticitiesof money demand, in If often an role macroeconomics. these variablesare play important empirical cointegratedas definedby Engle and Granger(1987),then the task of describ- ing these long-runrelationsreducesto the problemof estimatingcointegrating vectors.Recent researchon the estimationof vectorshas focused cointegrating on the case in which each series