Mark, Nelson C.; Ogaki, Masao; Sul, Donggyu - In: Review of Economic Studies 72 (2005) 3, pp. 797-820
We propose the parametric Dynamic Seemingly Unrelated Regression (DSUR) estimator for simultaneous estimation of multiple cointegrating regressions. DSUR is efficient when the equilibrium errors are correlated across equations and is applicable for panel cointegration estimation in environments...
