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A note on the estimation of long-run relationships in panel equations with cross-section linkages
Francesca Di Iorio ()
Economics Discussion Papers from Kiel Institute for the World Economy
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
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Persistent link: http://EconPapers.repec.org/RePEc:zbw:ifwedp:20121
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