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Estimating cointegrating relations from a cross section

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  • Edith Madsen
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    Abstract

    This paper specifies a regression model describing cointegrating relations between variables at the individual level. The models considered allow for homogeneous cointegration and heterogeneous cointegration. In both cases correlation between the regressors and the regression error can occur through aggregate shocks that are common to all cross-section units so the condition about the regressors being independent of the regression error is not imposed. It is shown that the estimator obtained by a cross-section regression performed at any point in time is a consistent estimator of the cointegrating parameters in the homogeneous case and of the cointegrating parameter means in the heterogeneous case. In both cases the limiting distribution of the cross-section estimator is normal. Copyright 2005 Royal Economic Society

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    Bibliographic Info

    Article provided by Royal Economic Society in its journal The Econometrics Journal.

    Volume (Year): 8 (2005)
    Issue (Month): 3 (December)
    Pages: 380-405

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    Handle: RePEc:ect:emjrnl:v:8:y:2005:i:3:p:380-405

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    Cited by:
    1. Eberhardt, Markus & Teal, Francis, 2009. "Econometrics for Grumblers: A New Look at the Literature on Cross-Country Growth Empirics," MPRA Paper 15813, University Library of Munich, Germany.
    2. Markus Eberhardt & Francis Teal, . "Aggregation versus Heterogeneity in Cross-Country Growth Empirics," Discussion Papers 11/08, University of Nottingham, CREDIT.

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