A Note on the Estimation of Long-Run Relationships in Panel Equations with Cross-Section Linkages
Francesca Di Iorio
Istituto Nazionale di Statistica
University of Rome I
Economics Discussion Paper No. 2012-1
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.
Number of Pages in PDF File: 13
Keywords: Panel cointegration, FM-OLS, FM-SUR, DOLS, DSUR
JEL Classification: C15, C23, C33working papers series
Date posted: January 18, 2012
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