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The asymptotic equivalence between the iterated improved 2SLS estimator and the 3SLS estimator

Qian, Hailong - In: Econometric reviews 16 (1997) 4, pp. 441-457

Persistent link: https://www.econbiz.de/10001230023

Efficient estimation using panel data

Breusch, Trevor S. - In: Econometrica : journal of the Econometric Society, an … 57 (1989) 3, pp. 695-700

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Analysis of panel vector error correction models using maximum likelihood, the bootstrap, and canonical-correlation estimators

Anderson, Richard G. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003740180

Analysis of Panel Vector Error Correction Models Using Maximum Likelihood, the Bootstrap, and Canonical-Correlation Estimators

Anderson, Richard G. - 2006

In this paper, we examine the use of Box-Tiao's (1977) canonical correlation method as an alternative to likelihood-based inferences for vector error-correction models. It is now well-known that testing of cointegration ranks based on Johansen's (1995) ML-based method suffers from severe small...

Persistent link: https://www.econbiz.de/10012732978