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1、HOWTOESTIMATELONG-RUNRELATIONSHIPSINECONOMICS:ANOVERVIEWOFRECENTDEVELOPMENTSbyUtkuUtkulu*Dr.,DokuzEylülUniversity,EconomicsDepartment.ABSTRACT:Thispaperprovidesanoverviewofanimportantandrelativelyrecentapproachestoestimatelong-runeconomicrelationshipsusing‘cointegration’,atechniquebecoming
2、widelyusedinmacroeconomicmodelling.Theappealofthecointegrationanalysisisthatitsimplyprovidesaneffectiveformalframeworkforestimating(alsotestingandmodelling)long-runeconomicrelationshipsfromtime-seriesdata.Thepaperisselectiveinnature.Inparticular,itdescribestheestimationproceduresofthosewhi
3、chhavebecomeincreasinglypopularintherecentappliedliterature.I.IntroductionNonstationary(trended)time-seriesdatacanberegardedaspotentiallyamajorproblemforempiricaleconometrics.Itiswellknownthattrends,eitherstochasticordeterministic,maycausespuriousregressions,uninterpretablestudent-tvaluesa
4、ndotherstatistics,goodnessoffitmeasureswhichare‘toohigh’and,asarule,makeregressionresultsratherdifficulttoevaluate.However,mostmacroeconomictime-seriesaresubjecttosometypeoftrend.Someresearchershavesuggestedaremedy,namelytodifferenceaseriessuccessivelyuntilstationaryisachieved.Nevertheless
5、,ithasbeenprovedthat‘differencing’resultsinalossofsomevaluablelong-runinformationinthedata.Arealbreakthroughinthetime-serieseconometricscamewiththeconceptof‘cointegration’intheearly1980s.TheconceptwasfirstintroducedbyGranger(1981).Afterwards,EngleandGranger(1987),intheirseminalpaper,provid
6、edafirmtheoreticalbaseforrepresentation,testing,estimatingandmodelingofcointegratednonstationarytime-seriesvariables.Sincethen,therehasbeenanexplosionofresearchoncointegrationandrelatedfields(forarecentsurveyonthesubject,seee.g.Utkulu(1994)).Cointegrationanalysisallowsnonstationarydatatobe
7、usedsothatspuriousresultsareavoided.Italsoprovidesappliedeconometriciansaneffectiveformalframeworkfortestingandestimatinglong-runmodelsfromactualtime-seriesdata.Somerecentdevelopmentsinestimatinglong-runeconomicrelationshipsarediscussedinthenextsectionbriefly.
