TY - CHAP
T1 - On the estimation and inference of a cointegrated regression in panel data
AU - Kao, Chihwa
AU - Chiang, Min Hsien
PY - 2000
Y1 - 2000
N2 - In this chapter, we study the asymptotic distributions for ordinary least squares (OLS), fully modified OLS (FMOLS), and dynamic OLS (DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FMOLS, and DOLS estimators are all asymptotically normally distributed. However, the asymptotic distribution of the OLS estimator is shown to have a non-zero mean. Monte Carlo results illustrate the sampling behavior of the proposed estimators and show that (1) the OLS estimator has a non-negligible bias in finite samples, (2) the FMOLS estimator does not improve over the OLS estimator in general, and (3) the DOLS outperforms both the OLS and FMOLS estimators.
AB - In this chapter, we study the asymptotic distributions for ordinary least squares (OLS), fully modified OLS (FMOLS), and dynamic OLS (DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FMOLS, and DOLS estimators are all asymptotically normally distributed. However, the asymptotic distribution of the OLS estimator is shown to have a non-zero mean. Monte Carlo results illustrate the sampling behavior of the proposed estimators and show that (1) the OLS estimator has a non-negligible bias in finite samples, (2) the FMOLS estimator does not improve over the OLS estimator in general, and (3) the DOLS outperforms both the OLS and FMOLS estimators.
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U2 - 10.1016/S0731-9053(00)15007-8
DO - 10.1016/S0731-9053(00)15007-8
M3 - Chapter
AN - SCOPUS:35448971123
SN - 0762306882
SN - 9780762306886
T3 - Advances in Econometrics
SP - 179
EP - 222
BT - Nonstationary Panels, Panel Cointegration, and Dynamic Panels
PB - JAI Press
ER -