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Abstract Details
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Activity Number:
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475
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Type:
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Contributed
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Date/Time:
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Wednesday, August 3, 2011 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #302425 |
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Title:
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A Dynamic OLS Estimator for Panel Cointegration With Global Stochastic Trends and Heterogeneous Panel
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Author(s):
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Qian Lin and Jun Liu*+
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Companies:
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Southwest University of Finance and Economics and Georgia Southern University
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Address:
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, , GA, 30458,
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Keywords:
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Panel cointegration ;
Cross-sectional heterogeneity ;
Cross-sectional dependence ;
Factor analysis ;
Fully-modified estimator ;
Dynamic OLS estimator
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Abstract:
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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.
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The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
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