This paper develops a system instrumental variable method to estimate the speed of adjustment coefficient in the long-run equilibrium of structural error correction models for a class of linear rational expectations models. This method is applied to an exchange rate model with sticky prices, in...

We estimate the long-run Japanese money demand function in a cointegration framework with two nonlinear functional forms that allow for the liquidity trap, and compare the results with the standard log-level functional form. In addition to the conventional linear cointegration techniques, we...