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Data dependent endogeneity correction in cointegrated panels

Författare:
Publiceringsår: 2005
Språk: Engelska
Sidor: 691-705
Publikation/Tidskrift/Serie: OXFORD BULLETIN OF ECONOMICS AND STATISTICS
Volym: 67
Nummer: 5
Dokumenttyp: Artikel
Förlag: BLACKWELL PUBLISHING

Sammanfattning

This paper examines the small-sample performance of several information based criteria that can be employed to facilitate data dependent endogeneity correction in estimation of cointegrated panel regressions. The Monte Carlo evidence suggests that the criteria generally perform well but that there are differences of practical importance. In particular, the evidence suggests that, although the estimators of the cointegration vectors generally perform well, the criterion with best small-sample performance also leads to the best performing estimator.

Disputation

Nyckelord

  • Business and Economics

Övrigt

Published
Yes
  • ISSN: 0305-9049

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