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A note on the estimation of long-run relationships in panel equations with cross-section linkages

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  • Di Iorio, Francesca
  • Fachin, Stefano

Abstract

We address the issue of estimation and inference in dependent non-stationary panels of small cross-section dimensions. The main conclusion is that the best results are obtained applying bootstrap inference to single-equation estimators, such as FM-OLS and DOLS. 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 Info

Paper provided by Kiel Institute for the World Economy in its series Economics Discussion Papers with number 2012-1.

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Date of creation: 2012
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Handle: RePEc:zbw:ifwedp:20121

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

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  1. repec:ebl:ecbull:v:3:y:2004:i:13:p:1-8 is not listed on IDEAS
  2. Joakim Westerlund, 2008. "Panel cointegration tests of the Fisher effect," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 23(2), pages 193-233.
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  13. Herzer, Dierk, 2008. "The long-run relationship between outward FDI and domestic output: Evidence from panel data," Economics Letters, Elsevier, Elsevier, vol. 100(1), pages 146-149, July.
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Cited by:
  1. Francesca Iorio & Stefano Fachin, 2014. "Savings and investments in the OECD: a panel cointegration study with a new bootstrap test," Empirical Economics, Springer, Springer, vol. 46(4), pages 1271-1300, June.
  2. Syed Basher & Stefano Fachin, 2012. "Investigating Long-Run Demand for Broad Money in the Gulf Arab Countries," DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome 2012/6, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.

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