The views expressed here are those of the individual authors and not necessarily those of the JSM sponsors, their officers, or their staff.
Abstract Details
Activity Number:
|
475
|
Type:
|
Contributed
|
Date/Time:
|
Wednesday, August 3, 2011 : 8:30 AM to 10:20 AM
|
Sponsor:
|
Business and Economic Statistics Section
|
Abstract - #302425 |
Title:
|
A Dynamic OLS Estimator for Panel Cointegration With Global Stochastic Trends and Heterogeneous Panel
|
Author(s):
|
Qian Lin and Jun Liu*+
|
Companies:
|
Southwest University of Finance and Economics and Georgia Southern University
|
Address:
|
, , GA, 30458,
|
Keywords:
|
Panel cointegration ;
Cross-sectional heterogeneity ;
Cross-sectional dependence ;
Factor analysis ;
Fully-modified estimator ;
Dynamic OLS estimator
|
Abstract:
|
This paper studies the estimation of panel cointegration models with cross-sectional dependence generated by unobserved global stochastic trends. We extend the CupFM (continuously updated and fully modified) estimators studied by Bai et al. (2009) by allowing cross-sectional heterogeneity. To remove the endogeneity caused by the cointegrated triangular system, we consider the Continuously Updated Dynamic OLS (CupDOLS). The consistent limiting distribution of the estimators is derived.
|
The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
Back to the full JSM 2011 program
|
2011 JSM Online Program Home
For information, contact jsm@amstat.org or phone (888) 231-3473.
If you have questions about the Continuing Education program, please contact the Education Department.