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

Författare:
Publiceringsår: 2007
Språk: Engelska
Sidor: 491-522
Publikation/Tidskrift/Serie: JOURNAL OF FINANCIAL ECONOMETRICS
Volym: 5
Nummer: 3
Dokumenttyp: Artikel
Förlag: OXFORD UNIV PRESS

Sammanfattning

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.

Disputation

Nyckelord

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

Övrigt

Published
Yes
  • ISSN: 1479-8409

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