Di Iorio, Francesca and Fachin, Stefano (2008): A note on the estimation of long-run relationships in dependent cointegrated panels.
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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.
|Item Type:||MPRA Paper|
|Original Title:||A note on the estimation of long-run relationships in dependent cointegrated panels|
|Keywords:||Panel cointegration, FM-OLS, FM-SUR|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General
C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C33 - Models with Panel Data; Longitudinal Data; Spatial Time Series
|Depositing User:||Stefano Fachin|
|Date Deposited:||11. Dec 2008 09:22|
|Last Modified:||27. Feb 2013 06:41|
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