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Estimating cointegrating relations from a cross section

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  • Edith Madsen

Abstract

This paper specifies a regression model describing cointegrating relations between variables at the individual level. The models considered allow for homogeneous cointegration and heterogeneous cointegration. In both cases correlation between the regressors and the regression error can occur through aggregate shocks that are common to all cross-section units so the condition about the regressors being independent of the regression error is not imposed. It is shown that the estimator obtained by a cross-section regression performed at any point in time is a consistent estimator of the cointegrating parameters in the homogeneous case and of the cointegrating parameter means in the heterogeneous case. In both cases the limiting distribution of the cross-section estimator is normal. Copyright 2005 Royal Economic Society

Suggested Citation

  • Edith Madsen, 2005. "Estimating cointegrating relations from a cross section," Econometrics Journal, Royal Economic Society, vol. 8(3), pages 380-405, December.
    • Handle: RePEc:ect:emjrnl:v:8:y:2005:i:3:p:380-405
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    Cited by:

    1. John Michael, Riveros-Gavilanes, 2020. "Estimating the Social Welfare Function of Amartya Sen for Latin America," MPRA Paper 111268, University Library of Munich, Germany, revised 08 Feb 2021.
    2. Markus Eberhardt & Francis Teal, 2011. "Econometrics For Grumblers: A New Look At The Literature On Cross‐Country Growth Empirics," Journal of Economic Surveys, Wiley Blackwell, vol. 25(1), pages 109-155, February.
    3. Markus Eberhardt & Francis Teal, 2011. "Econometrics For Grumblers: A New Look At The Literature On Cross‐Country Growth Empirics," Journal of Economic Surveys, Wiley Blackwell, vol. 25(1), pages 109-155, 02.

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