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

Min-Hsien Chiang, Chihwa Kao, Chih Hsien Lo

研究成果: Article同行評審

2 引文 斯高帕斯(Scopus)

摘要

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.

原文English
頁(從 - 到)1233-1250
頁數18
期刊Communications in Statistics - Theory and Methods
36
發行號6
DOIs
出版狀態Published - 2007 一月 1

All Science Journal Classification (ASJC) codes

  • Statistics and Probability

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