The estimation and inference of a panel cointegration model with a time trend

Min Hsien Chiang; Chihwa Kao; Chih Hsien Lo

doi:10.1080/03610920601076891

The estimation and inference of a panel cointegration model with a time trend

Min Hsien Chiang, Chihwa Kao, Chih Hsien Lo

Institute of International Business

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

Abstract

This article investigates the asymptotic properties of coefficient estimators in the panel cointegration model with a time trend. We find that the bias of OLS estimator for the slope coefficient in the panel cointegration model with a time trend is distinct from that in the panel cointegration model without a time trend. Meanwhile, the variance of the limiting distribution for the slope coefficient is larger in the panel cointegration model with a time trend than without a time trend.

Original language	English
Pages (from-to)	1233-1250
Number of pages	18
Journal	Communications in Statistics - Theory and Methods
Volume	36
Issue number	6
DOIs	https://doi.org/10.1080/03610920601076891
Publication status	Published - 2007 Jan

All Science Journal Classification (ASJC) codes

Statistics and Probability

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10.1080/03610920601076891

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abstract = "This article investigates the asymptotic properties of coefficient estimators in the panel cointegration model with a time trend. We find that the bias of OLS estimator for the slope coefficient in the panel cointegration model with a time trend is distinct from that in the panel cointegration model without a time trend. Meanwhile, the variance of the limiting distribution for the slope coefficient is larger in the panel cointegration model with a time trend than without a time trend.",

author = "Chiang, {Min Hsien} and Chihwa Kao and Lo, {Chih Hsien}",

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AB - This article investigates the asymptotic properties of coefficient estimators in the panel cointegration model with a time trend. We find that the bias of OLS estimator for the slope coefficient in the panel cointegration model with a time trend is distinct from that in the panel cointegration model without a time trend. Meanwhile, the variance of the limiting distribution for the slope coefficient is larger in the panel cointegration model with a time trend than without a time trend.

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The estimation and inference of a panel cointegration model with a time trend

Abstract

All Science Journal Classification (ASJC) codes

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