Advanced Search
MyIDEAS: Login to save this paper or follow this series

A note on the estimation of long-run relationships in dependent cointegrated panels

Contents:

Author Info

  • Di Iorio, Francesca
  • Fachin, Stefano

Abstract

We address the issue of estimation and inference in dependent nonstationary panels of small cross-section dimensions. The main conclusion is that the best results are obtained applying bootstrap inference to single-equation estimators. SUR estimators perform badly, or are even unfeasible, when the time dimension is not very large compared to the cross-section dimension.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://mpra.ub.uni-muenchen.de/12053/
File Function: original version
Download Restriction: no

Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 12053.

as in new window
Length:
Date of creation: 01 Sep 2008
Date of revision:
Handle: RePEc:pra:mprapa:12053

Contact details of provider:
Postal: Schackstr. 4, D-80539 Munich, Germany
Phone: +49-(0)89-2180-2219
Fax: +49-(0)89-2180-3900
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC

Related research

Keywords: Panel cointegration; FM-OLS; FM-SUR;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. MOON, Hyungsik Roger & PERRON, Benoit, 2000. "The Seemingly Unrelated Dynamic Cointegration Regression Model and Testing for Purching Power Parity," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 2000-03, Universite de Montreal, Departement de sciences economiques.
  2. Stefano Fachin, 2007. "Long-run trends in internal migrations in italy: a study in panel cointegration with dependent units," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 22(2), pages 401-428.
  3. Nelson C. Mark & Masao Ogaki & Donggyu Sul, 2005. "Dynamic Seemingly Unrelated Cointegrating Regressions," Review of Economic Studies, Oxford University Press, Oxford University Press, vol. 72(3), pages 797-820.
  4. Yoosoon Chang, 2000. "Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 1585, Econometric Society.
  5. Moon, Hyungsik R., 1999. "A note on fully-modified estimation of seemingly unrelated regressions models with integrated regressors," Economics Letters, Elsevier, Elsevier, vol. 65(1), pages 25-31, October.
  6. Di Iorio, Francesca & Fachin, Stefano, 2006. "Testing for breaks in cointegrated panels," MPRA Paper, University Library of Munich, Germany 3280, University Library of Munich, Germany.
  7. Lutz Kilian, 1999. "Finite-Sample Properties of Percentile and Percentile-t Bootstrap Confidence Intervals for Impulse Responses," The Review of Economics and Statistics, MIT Press, MIT Press, vol. 81(4), pages 652-660, November.
  8. Groen, Jan J J & Kleibergen, Frank, 2003. "Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 21(2), pages 295-318, April.
  9. Psaradakis, Zacharias, 2001. "On bootstrap inference in cointegrating regressions," Economics Letters, Elsevier, Elsevier, vol. 72(1), pages 1-10, July.
  10. Efstathios Paparoditis & Dimitris N. Politis, 2003. "Residual-Based Block Bootstrap for Unit Root Testing," Econometrica, Econometric Society, Econometric Society, vol. 71(3), pages 813-855, 05.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Francesca Di Iorio & Stefano Fachin, 2011. "A sieve bootstrap range test for poolability in dependent cointegrated panels," DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome 2011/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:12053. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.