In this paper, we study the asymptotic distributions for least-squares (OLS), fully modified (FM), and dynamic OLS … (DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FM, and DOLS estimators are all … asymptotically normally distributed. However, the asymptotic distribution of the OLS estimator is shown to have a non-zero mean …

This paper develops a fully modified OLS estimator for cointegrating polynomial regressions, i.e. for regressions … thus extends the fully modified approach developed in Phillips and Hansen (1990). The FM-OLS estimator has a zero mean … study which shows that the developed FM-OLS estimator and tests based upon it perform well in the sense that the performance …

This paper develops a fully modified OLS estimator for cointegrating polynomial regressions, i.e. for regressions … thus extends the fully modified approach developed in Phillips and Hansen (1990). The FM-OLS estimator has a zero mean … study which shows that the developed FM-OLS estimator and tests based upon it perform well in the sense that the performance …

using the Phillips and Hansen (1990) fully modified OLS approach developed for linear cointegrating relationships by …

allowed to be correlated across equations, over time and with the regressors. Whilst, of course, fully modified OLS and GLS …

, under restrictions on the parameters or in case of nonidentical regressors across equations, integrated modified OLS and GLS …

This paper shows that the integrated modified OLS (IM-OLS) estimator developed for cointegrating linear regressions in … regressors are allowed to be endogenous. The IM-OLS estimator is tuningparameter free and does not require the estimation of any … long-run variances. A scalar long-run variance, however, has to be estimated and scaled out when using IM-OLS for inference …

time-series and cross-section dependence and heterogeneity.Central to this literature are the fully-modified OLS of … in panels always reject in the N-limit.Feasible FM-OLS are based on estimated OLS residuals, not on true unobserved …-consistent semi-parametric estimators: a simple estimator that estimates and subtracts the OLS bias, and a pseudo-exogenised estimator …