A Note on the Estimation of Long-Run Relationships in Panel Equations with Cross-Section Linkages

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

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Year of publication:	2012
Authors:	Di Iorio, Francesca
Other Persons:	Fachin, Stefano (contributor)
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Schätztheorie \| Estimation theory \| Panel \| Panel study \| Kointegration \| Cointegration \| Schätzung \| Estimation

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Extent:	1 Online-Ressource (13 p)
Series:	Economics Discussion Paper ; No. 2012-1
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2012 erstellt
Other identifiers:	10.2139/ssrn.1987327 [DOI]
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C23 - Models with Panel Data ; C33 - Models with Panel Data
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013112206