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Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels

Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron P. - 2023

This paper, using the Bewley (1979) transformation of the autoregressive distributed lag model, proposes a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics, in the same setting as the widely used Pooled Mean Group (PMG)...

Persistent link: https://www.econbiz.de/10014357208

A Note on the Estimation of Long-Run Relationships in Panel Equations with Cross-Section Linkages

Di Iorio, Francesca - 2012

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...

Persistent link: https://www.econbiz.de/10013112206

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

Di Iorio, Francesca; Fachin, Stefano - 2012

compared to the cross-section dimension. -- Panel cointegration ; FM-OLS ; FM-SUR ; DOLS ; DSUR …

Persistent link: https://www.econbiz.de/10009409345

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

Di Iorio, Francesca; Fachin, Stefano - 2012

. -- panel cointegration ; fully modified ordinary least squares ; fully modified seemingly unrelated regression ; dynamic …

Persistent link: https://www.econbiz.de/10009544380

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

Kao, Chihwa; Chiang, Min-Hsien - 1997

(DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FM, and DOLS estimators are all …

Persistent link: https://www.econbiz.de/10014149909

Analysis of multiple long run relations in panel data models with applications to financial ratio

Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron - 2025

This paper provides a new methodology for the analysis of multiple long run relations in panel data models where the … cross section dimension, n, is large relative to the time series dimension, T. For panel data models with large n … approach is illustrated with an application to key financial variables using an unbalanced panel of US firms from merged CRSP …

Persistent link: https://www.econbiz.de/10015409539

Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trend

Kao, Chihwa; Trapani, Lorenzo; Urga, Giovanni - 2011

In this paper, we propose an estimation and testing framework for parameter instability in cointegrated panel …

Persistent link: https://www.econbiz.de/10014183168

Fixed-b Estimation and Inference in Heterogenous Dynamic Cointegrated Panels

Sender, Samuel J. - 2017

We study semi-parametric estimation and inference in cointegrated panels with endogenous feedback, allowing for general time-series and cross-section dependence and heterogeneity.Central to this literature are the fully-modified OLS of Phillips and Hansen (1990) that use a spectral...

Persistent link: https://www.econbiz.de/10012970628

Improving the Finite-Sample Estimators of Cointegrated Panel Models

Sender, Samuel J. - 2014

which N can grow simultaneously to T for the tests statistics of panel group-mean of time-series estimators to be …

Persistent link: https://www.econbiz.de/10013064659

Unit Root and Cointegration Tests for Cross-Sectionally Correlated Panels. Estimating Regional Production Functions

Basile, Roberto; Costantini, Mauro; Destefanis, Sergio - 2006

This paper employs recently developed non stationary panel methodologies that assume some cross-section dependence to … (FMOLS) estimators developed by Pedroni (1996, 2000, 2001) and the Panel Dynamic OLS (PDOLS) estimator proposed by Mark and …

Persistent link: https://www.econbiz.de/10014055387