Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
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 which the speed of adjustment coefficient governs the half‐life of the real exchange rate. Compared to single equation methods, the system method gives smaller half‐life estimates with sharper standard errors.