A note on the estimation of long-run relationships in dependent cointegrated panels

Francesca Di Iorio and Stefano Fachin

MPRA Paper from University Library of Munich, Germany

Abstract: We address the issue of estimation and inference in dependent nonstationary panels of small cross-section dimensions. The main conclusion is that the best results are obtained applying bootstrap inference to single-equation estimators. 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 (search for similar items in EconPapers)
JEL-codes: C13 C15 C33 (search for similar items in EconPapers)
Date: 2008-09-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:12053

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