Discussion Paper
Regressions for Partially Identified, Cointegrated Simultaneous Equations
This paper studies regressions for partially identified equations in simultaneous equations models (SEMs) where all the variables are I(l) and cointegrating relations are present. Asymptotic properties of OLS and 2SLS estimators under partial identification are derived. The results show that the identifiabilitv condition is important for consistency of estimates in nonstationary SEMs as it is for stationary SEMS.