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.
|Date of creation:||01 Sep 2008|
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"Dynamic Seemingly Unrelated Cointegrating Regressions,"
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- Di Iorio, Francesca & Fachin, Stefano, 2006. "Testing for breaks in cointegrated panels," MPRA Paper 3280, University Library of Munich, Germany. Full references (including those not matched with items on IDEAS)
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