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

13 Pages Posted: 18 Jan 2012

See all articles by Francesca Di Iorio

Francesca Di Iorio

Istituto Nazionale di Statistica

Stefano Fachin

University of Rome I

Date Written: 2012

Abstract

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.

Keywords: Panel cointegration, FM-OLS, FM-SUR, DOLS, DSUR

JEL Classification: C15, C23, C33

Suggested Citation

Di Iorio, Francesca and Fachin, Stefano, A Note on the Estimation of Long-Run Relationships in Panel Equations with Cross-Section Linkages (2012). Economics Discussion Paper No. 2012-1, Available at SSRN: https://ssrn.com/abstract=1987327 or http://dx.doi.org/10.2139/ssrn.1987327

Francesca Di Iorio (Contact Author)

Istituto Nazionale di Statistica ( email )

ISTAT
Via C. Balbo 16
I-00184 Roma
Italy

Stefano Fachin

University of Rome I ( email )

Piazzale Aldo Moro 5
Roma, Rome 00185
Italy

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