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.

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Year of publication:	2008-09-01
Authors:	Di Iorio, Francesca ; Fachin, Stefano

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Di Iorio, Francesca and Fachin, Stefano (2008): A note on the estimation of long-run relationships in dependent cointegrated panels.
Classification:	C13 - Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C33 - Models with Panel Data
Source:	BASE

Persistent link: https://www.econbiz.de/10015213289