economic theory in which the permanent component represents real influences, while the transitory component represents …

models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction …

equilibrium economic theory is presented to argue for the plausibility of cointegration, however, regional economic forecasting …This paper tests for cointegration between regional output of an industry and national output of the same industry. An … using the shift and share framework often acts as if cointegration does not exist. Data analysis on broad industrial sectors …

panel data. When the equilibrium errors are correlated across equations, the seemingly unrelated regression estimation … estimation problem is not always straightforward. We propose Dynamic Seemingly Unrelated Regression (DSUR) estimators which can … properties of the DSUR estimators both for heterogeneous and homogenous cointegrating vectors. The estimation techniques are then …

estimation techniques. We propose an alternative set of criteria for evaluating forecast rationality which entails the following …, according to the Johansen procedure, cointegration fails to hold the farther out the forecasts extend. At the one year ahead …

We study the panel DOLS estimator of a homogeneous cointegration vector for a balanced panel of N individuals observed … infinity. In a series of Monte Carlo experiments, we find that the asymptotic distribution theory provides a reasonably close …