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A parametric approach to the estimation of cointegration vectors in panel data.
- Source :
-
Conference Papers -- American Political Science Association . 2005 Annual Meeting, Washington DC, p1-28. 29p. 6 Charts. - Publication Year :
- 2005
-
Abstract
- In this paper a parametric framework for estimation and inference in cointegrated panel data models is considered that is based on a cointegrated VAR(p) model. A convenient two-step estimator is suggested where in the first step all individual specific parameters are estimated and in the second step the long-run parameters are estimated from a pooled least-squares regression. The two-step estimator and related test procedures can easily be modified to account for contemporaneously correlated errors, a feature that is often encountered in multi-country studies. Monte Carlo simulations suggest that the two-step estimator and related test procedures outperform semiparametric alternatives such as the fully modified OLS (FMOLS) approach, especially if the number of time periods is small. ..PAT.-Conference Proceeding [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- Database :
- Academic Search Index
- Journal :
- Conference Papers -- American Political Science Association
- Publication Type :
- Conference
- Accession number :
- 26623594