Fully Modified OLS for Heterogeneous Cointegrated Panels
This chapter uses fully modified OLS principles to develop new methods for estimating and testing hypotheses for cointegrating vectors in dynamic panels in a manner that is consistent with the degree of cross sectional heterogeneity that has been permitted in recent panel unit root and panel cointegration studies. The asymptotic properties of various estimators are compared based on pooling along the Â‘withinÂ’ and Â‘betweenÂ’ dimensions of the panel. By using Monte Carlo simulations to study the small sample properties, the group mean estimator is shown to behave well even in relatively small samples under a variety of scenarios.
|Date of creation:||Aug 2000|
|Date of revision:|
|Publication status:||published in Recent developments in the econometrics of panel data. Volume 1, 424-461. Elgar Reference Collection. International Library of Critical Writings in Econometrics, vol. 9., 2002.|
|Contact details of provider:|| Postal: |
Phone: 413 597 2476
Fax: 413 597 4045
Web page: http://econ.williams.edu
More information through EDIRC
|Order Information:|| Email: |
When requesting a correction, please mention this item's handle: RePEc:wil:wileco:2000-03. 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: (Stephen Sheppard)
If references are entirely missing, you can add them using this form.