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Feasible Estimation in Cointegrated Panels

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Author Info

  • Westerlund, Joakim

    ()
    (Department of Economics, Lund University)

Abstract

In this paper we propose a simple procedure for data dependent determination of the number of lags and leads to use in feasible estimation of cointegrated panel regressions. Results from Monte Carlo simulations suggests that the feasible estimators considered enjoys excellent precision in terms of root mean squared error and reasonable power with effective size hovering close to the nominal level. The good performance of the feasible estimators is verified empirically through an application to the long run money demand.

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Bibliographic Info

Paper provided by Lund University, Department of Economics in its series Working Papers with number 2003:12.

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Length: 8 pages
Date of creation: 16 Aug 2003
Date of revision: 10 Nov 2003
Publication status: Published in Oxford Bulletin of Economics and Statistics, 2005, pages 691-705.
Handle: RePEc:hhs:lunewp:2003_012

Contact details of provider:
Postal: Department of Economics, School of Economics and Management, Lund University, Box 7082, S-220 07 Lund,Sweden
Phone: +46 +46 222 0000
Fax: +46 +46 2224613
Web page: http://www.nek.lu.se/en
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Keywords: Panel Cointegration Estimation; Monte Carlo Simulation;

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References

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  1. Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
  2. Peter C.B. Phillips & Chi-Young Choi & Donggyu Sul, 2004. "Prewhitening Bias in HAC Estimation," Yale School of Management Working Papers ysm426, Yale School of Management.
  3. Nelson C. Mark & Masao Ogaki & Donggyu Sul, 2005. "Dynamic Seemingly Unrelated Cointegrating Regressions," Review of Economic Studies, Oxford University Press, vol. 72(3), pages 797-820.
  4. Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-66, July.
  5. Shin, Yongcheol, 1994. "A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration," Econometric Theory, Cambridge University Press, vol. 10(01), pages 91-115, March.
  6. Nelson C. Mark & Donggyu Sul, 2003. "Cointegration Vector Estimation by Panel DOLS and Long-run Money Demand," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(5), pages 655-680, December.
  7. repec:cup:etheor:v:10:y:1994:i:1:p:95-115 is not listed on IDEAS
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Cited by:
  1. Christian Dreger & Hans-Eggert Reimers & Barbara Roffia, 2007. "Long-Run Money Demand in the New EU Member States with Exchange Rate Effects," Eastern European Economics, M.E. Sharpe, Inc., vol. 45(2), pages 75-94, April.

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