Feasible Estimation in Cointegrated Panels

Joakim Westerlund

No 2003:12, Working Papers from Lund University, Department of Economics

Abstract: In this paper we propose a simple procedure for data dependent determination of the number of lags and leads to use in feasible estimation of cointegrated panel regressions. Results from Monte Carlo simulations suggests that the feasible estimators considered enjoys excellent precision in terms of root mean squared error and reasonable power with effective size hovering close to the nominal level. The good performance of the feasible estimators is verified empirically through an application to the long run money demand.

Keywords: Panel Cointegration Estimation; Monte Carlo Simulation (search for similar items in EconPapers)
JEL-codes: C13 C15 C33 C82 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2003-08-16, Revised 2003-11-10
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Published in Oxford Bulletin of Economics and Statistics, 2005, pages 691-705.

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
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: https://EconPapers.repec.org/RePEc:hhs:lunewp:2003_012

Access Statistics for this paper

More papers in Working Papers from Lund University, Department of Economics School of Economics and Management, Box 7080, S-22007 Lund, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by Iker Arregui Alegria ().