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)
Date: 2012
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 (10)

Downloads: (external link)
http://www.economics-ejournal.org/economics/discussionpapers/2012-1
https://www.econstor.eu/bitstream/10419/54675/1/682943266.pdf (application/pdf)

Related works:
Journal Article: A note on the estimation of long-run relationships in panel equations with cross-section linkages (2012)
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:zbw:ifwedp:20121

Access Statistics for this paper

More papers in Economics Discussion Papers from Kiel Institute for the World Economy Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().