论文标题
没有单位根的协整
Cointegration without Unit Roots
论文作者
论文摘要
自从Elliott（1998）以来，人们就知道，当自回旋根部接近但不完全等于统一时，对协整关系的推断的标准方法完全崩溃了。我们认为在结构VAR的框架内考虑了这个问题，认为这是识别失败的问题和推断。我们基于脉冲响应函数来开发协整的表征，即使在没有精确的单位根部的情况下，该响应函数即使在没有精确的单位根源的情况下也可以保持鉴定。我们的方法还提供了一个框架，在该框架中，驱动共同持续组件的结构冲击继续通过长期限制来确定，就像在具有精确单位根的SVAR中一样。我们表明，在预测回归中熟悉的方式，对协整关系的推论受到滋扰参数的影响；实际上，这两个问题在渐近上是等效的。通过将Elliott，Müller和Watson（2015）的方法调整到我们的设置中，我们开发了可靠控制大小的测试，同时牺牲了很少的功率（相对于存在精确单位根的有效测试）。
It has been known since Elliott (1998) that standard methods of inference on cointegrating relationships break down entirely when autoregressive roots are near but not exactly equal to unity. We consider this problem within the framework of a structural VAR, arguing this it is as much a problem of identification failure as it is of inference. We develop a characterisation of cointegration based on the impulse response function, which allows long-run equilibrium relationships to remain identified even in the absence of exact unit roots. Our approach also provides a framework in which the structural shocks driving the common persistent components continue to be identified via long-run restrictions, just as in an SVAR with exact unit roots. We show that inference on the cointegrating relationships is affected by nuisance parameters, in a manner familiar from predictive regression; indeed the two problems are asymptotically equivalent. By adapting the approach of Elliott, Müller and Watson (2015) to our setting, we develop tests that robustly control size while sacrificing little power (relative to tests that are efficient in the presence of exact unit roots).
