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Fully Modified OLS for Heterogeneous Cointegrated Panels

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This chapter uses fully modified OLS principles to develop new methods for estimating and testing hypotheses for cointegrating vectors in dynamic panels in a manner that is consistent with the degree of cross sectional heterogeneity that has been permitted in recent panel unit root and panel cointegration studies. The asymptotic properties of various estimators are compared based on pooling along the ‘within’ and ‘between’ dimensions of the panel. By using Monte Carlo simulations to study the small sample properties, the group mean estimator is shown to behave well even in relatively small samples under a variety of scenarios.

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File URL: http://web.williams.edu/Economics/wp/pedroniaie.pdf
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Paper provided by Department of Economics, Williams College in its series Department of Economics Working Papers with number 2000-03.

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Length: 38 pages
Date of creation: Aug 2000
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Publication status: published in Recent developments in the econometrics of panel data. Volume 1, 424-461. Elgar Reference Collection. International Library of Critical Writings in Econometrics, vol. 9., 2002.
Handle: RePEc:wil:wileco:2000-03

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