The authors address the issue of estimation and inference in dependent nonstationary 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 fully modified ordinary least squares and dynamic ordinary least squares. Seemingly unrelated regression estimators perform badly, or are even unfeasible, when the time dimension is not very large compared to the cross-section dimension. © Author(s) 2012.

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

DI IORIO, FRANCESCA;
2012

Abstract

The authors address the issue of estimation and inference in dependent nonstationary 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 fully modified ordinary least squares and dynamic ordinary least squares. Seemingly unrelated regression estimators perform badly, or are even unfeasible, when the time dimension is not very large compared to the cross-section dimension. © Author(s) 2012.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11588/453236
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