A Dynamic OLS Estimator for Panel Cointegration With Global Stochastic Trends and Heterogeneous Panel
Document Type
Presentation
Presentation Date
8-3-2011
Abstract or Description
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.
Sponsorship/Conference/Institution
Joint Statistical Meetings
Location
Miami, FL
Recommended Citation
Liu, Jun, Qian Lin.
2011.
"A Dynamic OLS Estimator for Panel Cointegration With Global Stochastic Trends and Heterogeneous Panel."
Department of Logistics & Supply Chain Management Faculty Presentations.
Presentation 46.
https://digitalcommons.georgiasouthern.edu/logistics-supply-facpres/46
