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Estimating cointegrated panels with common factors and the forward rate unbiasedness hypothesis

In English

Författare

Summary, in English

This article proposes a bias-adjusted estimator for use in cointegrated panel regressions when the errors are cross-sectionally correlated through an unknown common factor structure. The asymptotic distribution of the new estimator is derived and is examined in small samples using Monte Carlo simulations. For the estimation of the number of factors, several information-based criteria are considered. The simulation results suggest that the new estimator performs well in comparison to existing ones. In our empirical application, we provide new evidence suggesting that the forward rate unbiasedness hypothesis cannot be rejected.

Publiceringsår

2007

Språk

Engelska

Sidor

491-522

Publikation/Tidskrift/Serie

Journal of Financial Econometrics

Volym

5

Issue

3

Dokumenttyp

Artikel i tidskrift

Förlag

Oxford University Press

Ämne

  • Economics

Nyckelord

  • common factor model
  • forward rate unbiasedness hypothesis
  • cross-section dependence
  • panel cointegration
  • information criteria

Status

Published

ISBN/ISSN/Övrigt

  • ISSN: 1479-8409