×

zbMATH — the first resource for mathematics

An autoregressive distributed-lag modelling approach to cointegration analysis. (English) Zbl 0972.91076
Strøom, Steinar (ed.), Econometrics and economic theory in the 20th century. The Ragnar Frisch centennial symposium. Papers from the symposium held in Oslo, Norway, March 3-5, 1995. Cambridge: Cambridge University Press. Econ. Soc. Monogr. 31, 371-413 (1998).
Econometric analysis of long-run relations has been the focus of much theoretical and empirical research in economics. In cases where the variables in the long-run relation of interest are trend-stationary, the general practice has been to de-trend the series and two model the de-trended series as stationary autoregressive distributed-lag models. Estimation and inference concerning the long-run properties of the model have then been carried out using standard asymptotic normal theory. The analysis becomes more complicated when the variables are difference-stationary or integrated of order 1. The recent literature on cointegration has been concerned analysis of the long-run relations between such variables, and its basic premise has been, at least implicitly, that in the presence of such variables, the traditional autoregressive distributed-lag approach is no longer applicable.
In this chapter , the authors re-examine the use of the traditional autoregressive distributed-lag approach for the analysis of long-run relations when the underlying variables are difference-stationary or integrated of order 1. The presented theoretical analysis and the Monte Carlo simulation results provide strong evidence in favour of a rehabilitation of the traditional autoregressive distributed-lag approach to time-series econometric modelling. The focus, however, has been exclusively on single-equation estimation techniques, while system estimation has not been addressed.
For the entire collection see [Zbl 0944.00092].

MSC:
91B82 Statistical methods; economic indices and measures
62P20 Applications of statistics to economics
PDF BibTeX XML Cite