On the estimation and inference of a cointegrated regression in panel data

Chihwa Kao, Min Hsien Chiang

研究成果: Chapter

872 引文 斯高帕斯(Scopus)

摘要

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.

原文English
主出版物標題Nonstationary Panels, Panel Cointegration, and Dynamic Panels
發行者JAI Press
頁面179-222
頁數44
ISBN(列印)0762306882, 9780762306886
DOIs
出版狀態Published - 2000

出版系列

名字Advances in Econometrics
15
ISSN(列印)0731-9053

All Science Journal Classification (ASJC) codes

  • 經濟學與計量經濟學

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