JSM 2011 Online Program

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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

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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