A note on the estimation of long-run relationships in panel equations with cross-section linkages

We address the issue of estimation and inference in dependent non-stationary panels of small cross-section dimensions. The main conclusion is that the best results are obtained applying bootstrap inference to single-equation estimators, such as FM-OLS and DOLS. 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:	2012
Authors:	Di Iorio, Francesca ; Fachin, Stefano
Publisher:	Kiel : Kiel Institute for the World Economy (IfW)
Subject:	Panel cointegration \| FM-OLS \| FM-SUR \| DOLS \| DSUR

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Series:	Economics Discussion Papers ; 2012-1
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	682943266 [GVK] hdl:10419/54675 [Handle] RePEc:zbw:ifwedp:20121 [RePEc]
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C23 - Models with Panel Data ; C33 - Models with Panel Data
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010307699