Estimation Of The Long-Run Average Relationship In Nonstationary Panel Time Series
This paper proposes a new class of estimators of the long-run average relationship when there is no individual time series cointegration. Using panel data with large cross section (n) and time series dimensions (T), the estimators are based on the long-run average variance estimate using bandwidth equal to T. The new estimators include the panel pooled least squares estimators and the limiting cross sectional least squares estimator as special cases. It is shown that the new estimators are consistent and asymptotically normal under both the sequential limit, wherein T goes to infinity followed by n going to infinity, and the joint limit where T and n go to infinite simultaneously. The rate condition for the joint limit to hold is relaxed to the condition that sqrt(n)/T goes to infinity, which is less restrictive than the rate condition that n/T goes to infinity, as imposed by Phillips and Moon (1999). By taking powers of the Bartlett and Parzen kernels, this paper introduces two new classes of kernels, the sharp kernels and steep kernels, and shows that these new kernels deliver new estimators of the long-run average relationship that are more efficient than the existing ones. A simulation study supports the asymptotic results.
(This abstract was borrowed from another version of this item.)
Volume (Year): 20 (2004)
Issue (Month): 06 (December)
|Contact details of provider:|| Postal: Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK|
Web page: http://journals.cambridge.org/jid_ECT
When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:20:y:2004:i:06:p:1227-1260_20. 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: (Keith Waters)
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.