On the Estimation and Inference of a Cointegrated Regression in Panel Data

Chihwa Kao () and Min-Hsien Chiang
Additional contact information
Min-Hsien Chiang: Syracuse University

Econometrics from EconWPA

Abstract: In this paper, we study the asymptotic distributions for least-squares (OLS), fully modified (FM), and dynamic OLS\ (DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FM, 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 examine the sampling behavior of the proposed estimators and show that (1) the OLS estimator has a non-negligible bias in finite samples, (2) the FM estimator does not improve over the OLS estimator in general, and (3) the DOLS out-performs both the OLS and FM estimators.

Keywords: Panel Data, OLS Estimator; FM Estimator, DOLS Estimator, Heterogeneous Panels. (search for similar items in EconPapers)
JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 1997-03-15
Note: Type of Document - Tex (DVI); prepared on IBM PC ; to print on HP/PostScrip; pages: 24 ; figures: 0
View list of references View citations in EconPapers

Downloads: (external link)
http://129.3.20.41/eps/em/papers/9703/9703001.dvi (application/x-dvi)
http://129.3.20.41/eps/em/papers/9703/9703001.pdf (application/pdf)
http://129.3.20.41/eps/em/papers/9703/9703001.ps.gz (application/postscript)

Related works:
Working Paper: On the Estimation and Inference of a Cointegrated Regression in Panel Data (1999)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:9703001

Access Statistics for this paper

More papers in Econometrics from EconWPA
Series data maintained by EconWPA ().