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

Chihwa Kao and Min-Hsien Chiang

No 2, Center for Policy Research Working Papers from Center for Policy Research, Maxwell School, Syracuse University

Abstract: The main contribution of this paper is to add to the literature by suggesting a dynamic OLS (DOLS) estimator and providing a serious comparison of the finite sample properties of the OLS, fully modified OLS (FMOLS), and DOLS estimators in panel cointegrated regression models. Monte Carlo results illustrate the sampling behavior of the proposed estimators and show that (1) the OLS estimator has a non-negligible bias in finite samples, (2) the FMOLS estimator does not improve over the OLS estimator in general, and (3) the DOLS outperforms both the OLS and FMOLS estimators.

JEL-codes: C22 C23 (search for similar items in EconPapers)
Pages: 37 pages
Date: 1999-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (142)

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https://surface.syr.edu/cpr/145/ (application/pdf)

Related works:
Working Paper: On the Estimation and Inference of a Cointegrated Regression in Panel Data (1997)
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