ABSTRACT
CT Rcgrcssiorr rnotlels and sim~dta.neous equations nrodcls a.re rcvicvctl. Thc Limited lnfonrration Maxirnurn I,ilwlihooil cst,inrator of il structural equation is a vector :~ni~ihilatetl by a rcduccd 1.a11li regression estir~rator of Lhe rciluced folm. 'ri-lis cstirnatot. is hi~sed on the canonical corrcila1,ions and wectors of the (Ieperident arid indepcrld~lt variables. Cointegatetl models ;we introtllmxl ;IS rloilstirtionitry arrtoregessive processes having some stationary linear fi~nct,ions; thc error-correction form of t lic model ha,s a coefficient ~na,trix of lower rank. The iwiucccl rank rcgressiorl estim:~(,or of {,his matrix is in p i r t a, superefficient, estin1a.- tor. Its large-sample ixhavior ;arid that of the likelilioocl ratio criterion for testing ra~ik are dcscril)id.
