The author demonstrates that despite variables that are integrated, the fundamental issues on structural equation modeling raised by the Cowles Commission remain valid and standard estimation and testing procedures can still be applied. A basic framework linking the multiple time series model...

The authors provide a convergence theory for adaptive learning algorithms useful for the study of learning by economic agents. Their results extend the framework of L. Ljung previously utilized by A. Marcet-T. J. Sargent and M. Woodford by permitting nonlinear laws of motion driven by stochastic...