A Note on the Estimation of Long-Run Relationships in Panel Equations with Cross-Section Linkages
13 Pages Posted: 18 Jan 2012
Date Written: 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 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: Suggested Citation