A note on the estimation of long-run relationships in dependent cointegrated panels
AbstractWe 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 12053.
Date of creation: 01 Sep 2008
Date of revision:
Panel cointegration; FM-OLS; FM-SUR;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-12-14 (All new papers)
- NEP-ECM-2008-12-14 (Econometrics)
- NEP-ETS-2008-12-14 (Econometric Time Series)
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.:
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