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2002-01-14Buch DOI: 10.18452/3437
A parametric approach to the estimation of cointegration vectors in panel data
dc.contributor.authorBreitung, Jörg
dc.date.accessioned2017-06-15T20:59:25Z
dc.date.available2017-06-15T20:59:25Z
dc.date.created2005-10-06
dc.date.issued2002-01-14
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4089
dc.description.abstractIn this paper a parametric framework for stimation and inference in cointegrated panel data models is considered that is based on a cointegrated VAR(p) model. A convenient two-step estimator is uggested where in the first step all individual specific parameters are estimated, whereas in the second step the long-run parameters are estimated from a pooled least-squares regression. The two-step estimator and related test procedures can easily be modified to account for contemporaneously correlated errors, a feature that is often encountered in multi-country studies. Monte Carlo simulations suggest that the two-step estimator and related test procedures outperform semiparametric alternatives such as the FM-OLS approach, especially if the number of time periods is small.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subject.ddc330 Wirtschaft
dc.titleA parametric approach to the estimation of cointegration vectors in panel data
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10048474
dc.identifier.doihttp://dx.doi.org/10.18452/3437
local.edoc.pages25
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2002
dc.identifier.zdb2135319-0
bua.series.nameSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
bua.series.issuenumber2002,3

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