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Data Dependent Endogeneity Correction in Cointegrated Panels

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  • Joakim Westerlund
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    Abstract

    This paper examines the small-sample performance of several information based criteria that can be employed to facilitate data dependent endogeneity correction in estimation of cointegrated panel regressions. The Monte Carlo evidence suggests that the criteria generally perform well but that there are differences of practical importance. In particular, the evidence suggests that, although the estimators of the cointegration vectors generally perform well, the criterion with best small-sample performance also leads to the best performing estimator. Copyright 2005 Blackwell Publishing Ltd.

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    Bibliographic Info

    Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

    Volume (Year): 67 (2005)
    Issue (Month): 5 (October)
    Pages: 691-705

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    Handle: RePEc:bla:obuest:v:67:y:2005:i:5:p:691-705

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    Cited by:
    1. Westerlund, Joakim, 2006. "Testing for Error Correction in Panel Data," Research Memorandum 056, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    2. Smith, James, 2008. "That elusive elasticity and the ubiquitous bias: Is panel data a panacea?," Journal of Macroeconomics, Elsevier, Elsevier, vol. 30(2), pages 760-779, June.
    3. Damette, Olivier & Seghir, Majda, 2013. "Energy as a driver of growth in oil exporting countries?," Energy Economics, Elsevier, Elsevier, vol. 37(C), pages 193-199.
    4. Vanessa Berenguer-Rico & Josep LluĂ­s Carrion-i-Silvestre, 2006. "Testing for Multicointegration in Panel Data with Common Factors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 68(s1), pages 721-739, December.
    5. James Smith, 2008. "That elusive elasticity and the ubiquitous bias: is panel data a panacea?," Bank of England working papers, Bank of England 342, Bank of England.
    6. Luiz de Mello, 2007. "Local Government Finances: The Link between Intergovernmental Transfers and Net Worth," OECD Economics Department Working Papers 581, OECD Publishing.

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