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Dynamic Seemingly Unrelated Cointegrating Regressions

Mark, Nelson C.; Ogaki, Masao; Sul, Donggyu - In: The review of economic studies 72 (2005) 252, pp. 797-884

Persistent link: https://www.econbiz.de/10007641236

Bias Reduction in Dynamic Panel Data Models by Common Recursive Mean Adjustment*

Choi, Chi‐Young; Mark, Nelson C.; Sul, Donggyu - In: Oxford bulletin of economics and statistics 72 (2010) 5, pp. 567-600

Persistent link: https://www.econbiz.de/10008451182

Endogenous discounting, the world saving glut and the U.S. current account

Choi, Horag; Mark, Nelson C.; Sul, Donggyu - In: Journal of international economics 75 (2008) 1, pp. 30-54

Persistent link: https://www.econbiz.de/10008884162

Endogenous discounting, the world saving glut and the U.S. current account

Choi, Horag; Mark, Nelson C.; Sul, Donggyu - In: Journal of international economics 75 (2008) 1, pp. 30-53

Persistent link: https://www.econbiz.de/10008052341

Dynamic Seemingly Unrelated Cointegrating Regressions

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...

Persistent link: https://www.econbiz.de/10010637961

Exchange Rates as Exchange Rate Common Factors

Greenaway-McGrevy, Ryan; Mark, Nelson C.; Sul, Donggyu; … - Hong Kong Institute for Monetary Research (HKIMR), … - 2012

Factor analysis performed on a panel of 23 nominal exchange rates from January 1999 to December 2010 yields three common factors. This paper identifies the euro/dollar, Swiss-franc/dollar and yen/dollar exchange rates as empirical counterparts to these common factors. These empirical factors...

Persistent link: https://www.econbiz.de/10010617719