On the Estimation and Inference of a Cointegrated Regression in Panel Data

The main contribution of this paper is to add to the literature by suggesting a dynamic OLS (DOLS) estimator and providing a serious comparison of the finite sample properties of the OLS, fully modified OLS (FMOLS), and DOLS estimators in panel cointegrated regression models. Monte Carlo results illustrate the sampling behavior of the proposed estimators and show that (1) the OLS estimator has a non-negligible bias in finitte samples, (2) the FMOLS estimator does not improve over the OLS estimator in general, and (3) the DOLS outperforms both the OLS and FMOLS estimators

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Year of publication:	2011
Authors:	Kao, Chihwa
Other Persons:	Chiang, Min-Hsien (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Panel \| Panel study \| Regressionsanalyse \| Regression analysis \| Kointegration \| Cointegration \| Induktive Statistik \| Statistical inference \| Kleinste-Quadrate-Methode \| Least squares method \| Schätztheorie \| Estimation theory

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