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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- 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.
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- Groen, Jan J J & Kleibergen, Frank, 2003.
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- Yoosoon Chang, 2000.
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- Chang, Yoosoon, 2004. "Bootstrap unit root tests in panels with cross-sectional dependency," Journal of Econometrics, Elsevier, vol. 120(2), pages 263-293, June.
- Chang, Yoosoon, 2002. "Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency," Working Papers 2000-01, Rice University, Department of Economics.
- 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.
- Masao Ogaki & Nelson Mark & Donggyu Sul, 2004.
"Dynamic Seemingly Unrelated Cointegrating Regression,"
04-02, Ohio State University, Department of Economics.
- 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.
- Mark, Nelson & Ogaki, Masao & Sul, Donggyu, 2003. "Dynamic Seemingly Unrelated Cointegrating Regression," Working Papers 144, Department of Economics, The University of Auckland.
- Nelson C. Mark & Masao Ogaki & Donggyu Sul, 2003. "Dynamic Seemingly Unrelated Cointegrating Regression," NBER Technical Working Papers 0292, National Bureau of Economic Research, Inc.
- 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.
- Di Iorio, Francesca & Fachin, Stefano, 2006. "Testing for breaks in cointegrated panels," MPRA Paper 3280, University Library of Munich, Germany.
- Efstathios Paparoditis & Dimitris N. Politis, 2003. "Residual-Based Block Bootstrap for Unit Root Testing," Econometrica, Econometric Society, vol. 71(3), pages 813-855, 05.
- Psaradakis, Zacharias, 2001. "On bootstrap inference in cointegrating regressions," Economics Letters, Elsevier, vol. 72(1), pages 1-10, July.
- 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.
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