A note on the estimation of long-run relationships in dependent cointegrated panels
We 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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Cahiers de recherche
2000-03, Universite de Montreal, Departement de sciences economiques.
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