A note on the estimation of long-run relationships in dependent cointegrated panels
Download full text from publisher
References listed on IDEAS
- Nelson C. Mark & Masao Ogaki & Donggyu Sul, 2005.
"Dynamic Seemingly Unrelated Cointegrating Regressions,"
Review of Economic Studies,
Oxford University Press, vol. 72(3), pages 797-820.
- Nelson C. Mark & Masao Ogaki & Donggyu Sul, 2003. "Dynamic Seemingly Unrelated Cointegrating Regression," NBER Technical Working Papers 0292, National Bureau of Economic Research, Inc.
- Mark, Nelson & Ogaki, Masao & Sul, Donggyu, 2003. "Dynamic Seemingly Unrelated Cointegrating Regression," Working Papers 144, Department of Economics, The University of Auckland.
- Masao Ogaki & Nelson Mark & Donggyu Sul, 2004. "Dynamic Seemingly Unrelated Cointegrating Regression," Working Papers 04-02, Ohio State University, Department of Economics.
- Groen, Jan J J & Kleibergen, Frank, 2003.
"Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 21(2), pages 295-318, April.
- Jan J.J. Groen & Frank R. Kleibergen, 1999. "Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models," Tinbergen Institute Discussion Papers 99-055/4, Tinbergen Institute.
- J.J.J. Groen & F. Kleibergen, 2001. "Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models," WO Research Memoranda (discontinued) 646, Netherlands Central Bank, Research Department.
- Chang, Yoosoon, 2004.
"Bootstrap unit root tests in panels with cross-sectional dependency,"
Journal of Econometrics,
Elsevier, vol. 120(2), pages 263-293, June.
- Yoosoon Chang, 2000. "Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency," Econometric Society World Congress 2000 Contributed Papers 1585, Econometric Society.
- Yoosoon Chang, 2000. "Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency," Cowles Foundation Discussion Papers 1251, Cowles Foundation for Research in Economics, Yale University.
- Chang, Yoosoon, 2002. "Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency," Working Papers 2000-01, Rice University, Department of Economics.
- Moon, Hyungsik R., 1999. "A note on fully-modified estimation of seemingly unrelated regressions models with integrated regressors," Economics Letters, Elsevier, vol. 65(1), pages 25-31, October.
- Psaradakis, Zacharias, 2001. "On bootstrap inference in cointegrating regressions," Economics Letters, Elsevier, vol. 72(1), pages 1-10, July.
- Lutz Kilian, 1999. "Finite-Sample Properties of Percentile and Percentile-t Bootstrap Confidence Intervals for Impulse Responses," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 652-660, November.
- Moon, H.R. & Perron, P., 2000.
"The Seemingly Unrelated Dynamic Cointegration Regression Model and Testing for Purching Power Parity,"
Cahiers de recherche
2000-03, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- MOON, Hyungsik Roger & PERRON, Benoit, 2000. "The Seemingly Unrelated Dynamic Cointegration Regression Model and Testing for Purching Power Parity," Cahiers de recherche 2000-03, Universite de Montreal, Departement de sciences economiques.
- Efstathios Paparoditis & Dimitris N. Politis, 2003. "Residual-Based Block Bootstrap for Unit Root Testing," Econometrica, Econometric Society, vol. 71(3), pages 813-855, May.
- Stefano Fachin, 2007.
"Long-run trends in internal migrations in italy: a study in panel cointegration with dependent units,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 22(2), pages 401-428.
- Stefano Fachin, 2005. "Long-Run Trends in Internal Migrations in Italy: a Study in Panel Cointegration with Dependent Units," Econometrics 0507002, EconWPA.
- Di Iorio, Francesca & Fachin, Stefano, 2006. "Testing for breaks in cointegrated panels," MPRA Paper 3280, University Library of Munich, Germany.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Francesca Di Iorio & Stefano Fachin, 2011. "A sieve bootstrap range test for poolability in dependent cointegrated panels," DSS Empirical Economics and Econometrics Working Papers Series 2011/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Brücker, Herbert & Fachin, Stefano & Venturini, Alessandra, 2009. "Do Foreigners Replace Native Immigrants? Evidence from a Panel Cointegration Analysis," IZA Discussion Papers 4438, Institute for the Study of Labor (IZA).
More about this item
KeywordsPanel cointegration; FM-OLS; FM-SUR;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-12-14 (All new papers)
- NEP-ECM-2008-12-14 (Econometrics)
- NEP-ETS-2008-12-14 (Econometric Time Series)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:12053. 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: (Joachim Winter). General contact details of provider: http://edirc.repec.org/data/vfmunde.html .