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A note on the estimation of long-run relationships in dependent cointegrated panels

Di Iorio, Francesca and Fachin, Stefano (2008): A note on the estimation of long-run relationships in dependent cointegrated panels.

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Abstract

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.

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