The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
On the estimation and inference of a cointegrated regression in panel data
Abstract
In this chapter, we study the asymptotic distributions for ordinary least squares (OLS), fully modified OLS (FMOLS), and dynamic OLS (DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FMOLS, and DOLS estimators are all asymptotically normally distributed. However, the asymptotic distribution of the OLS estimator is shown to have a non-zero mean. Monte Carlo results illustrate the sampling behavior of the proposed estimators and show that (1) the OLS estimator has a non-negligible bias in finite samples, (2) the FMOLS estimator does not improve over the OLS estimator in general, and (3) the DOLS outperforms both the OLS and FMOLS estimators.
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Cites
Hsiao, C. (2014) · doi:10.1017/cbo9781139839327 · Cited by 7,869
Estimating long-run relationships from dynamic heterogeneous panels
Pesaran, M. H., & Smith, R. (1995) · Journal of Econometrics · doi:10.1016/0304-4076(94)01644-f · Cited by 5,479 · cited 1×
“Pesaran and Smith (1995) are not directly concerned with cointegration but do touch on a number of related issues, including the potential 180 CHIHWA KAO & MIN-HSIEN CHIANG”
The Penn World Table (Mark 5): An Expanded Set of International Comparisons, 1950-1988
Summers, R., & Heston, A. (1991) · The Quarterly Journal of Economics · doi:10.2307/2937941 · Cited by 3,429
Cited by
Purchasing Power Parity Tests in Cointegrated Panels
Pedroni, P. (2001) · Review of Economics and Statistics · doi:10.1162/003465301753237803 · Cited by 2,106
Park, Y., Meng, F., & Baloch, M. A. (2018) · Environmental Science and Pollution Research · doi:10.1007/s11356-018-3108-6 · Cited by 486
OIL PRICES AND STOCK MARKETS IN GCC COUNTRIES: EMPIRICAL EVIDENCE FROM PANEL ANALYSIS
Arouri, M. E. H., & Rault, C. (2012) · International Journal of Finance & Economics · doi:10.1002/ijfe.443 · Cited by 375
Dhahri, S., & Omri, A. (2018) · World Development · doi:10.1016/j.worlddev.2018.01.008 · Cited by 361
Financial inclusion and economic growth linkage: Some cross country evidence
Sethi, D., & Acharya, D. (2018) · Journal of Financial Economic Policy · doi:10.1108/jfep-11-2016-0073 · Cited by 341
Metadata
- Authors
- Kao, C., & Chiang, M.-H.
- Venue
- Advances in Econometrics
- Publisher
- Emerald (MCB UP )
- Published
- 2004-05-19
- Pages
- 179-222
- ISSN
- 0731-9053 (ISSN-L)
- OpenAlex
- W1566331826
- Cited by
- 1,803
- References
- 3
- FWCI
- 111.78
- Type
- book chapter
- Language
- en
- Open access
- closed
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- Kao, C., & Chiang, M.-H. (2004). On the estimation and inference of a cointegrated regression in panel data. Advances in Econometrics. https://doi.org/10.1016/s0731-9053(00)15007-8
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