Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Cowles commission structural equation approach in light of nonstationary
  time series analysis   We review the advancement of nonstationary time series analysis from the
perspective of Cowles Commission structural equation approach. We argue that
despite the rich repertoire nonstationary time series analysis provides to
analyze how do variables respond dynamically to shocks through the
decomposition of a dynamic system into long-run and short-run relations,
nonstationarity does not invalid the classical concerns of structural equation
modeling -- identification and simultaneity bias. The same rank condition for
identification holds for stationary and nonstationary data and some sort of
instrumental variable estimators will have to be employed to yield consistency.
However, nonstationarity does raise issues of inference if the rank of
cointegration or direction of nonstationarity is not known a priori. The usual
test statistics may not be chi-square distributed because of the presence of
unit roots distributions. Classical instrumental variable estimators have to be
modified to ensure valid inference.

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The categories of this paper are: astro-ph
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The categories of this paper are: hep-ex
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The categories of this paper are: solv-int
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The categories of this paper are: funct-an
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The categories of this paper are: nucl-th
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The categories of this paper are: adap-org
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The categories of this paper are: atom-ph
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The categories of this paper are: mtrl-th
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The categories of this paper are: chem-ph
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The categories of this paper are: eess
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The categories of this paper are: hep-th
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The categories of this paper are: chao-dyn
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The categories of this paper are: econ
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The categories of this paper are: q-bio
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The categories of this paper are: q-fin
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The categories of this paper are: hep-lat