A note on the estimation of long-run relationships in panel equations with cross-section linkages

Francesca Di Iorio and Stefano Fachin ()

No 2012-1, Economics Discussion Papers from Kiel Institute for the World Economy

Abstract: We address the issue of estimation and inference in dependent non-stationary panels of small cross-section dimensions. The main conclusion is that the best results are obtained applying bootstrap inference to single-equation estimators, such as FM-OLS and DOLS. SUR estimators perform badly, or are even unfeasible, when the time dimension is not very large compared to the cross-section dimension. --

Keywords: Panel cointegration; FM-OLS; FM-SUR; DOLS; DSUR (search for similar items in EconPapers)
JEL-codes: C15 C23 C33 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2012
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