Title
A Dynamic OLS Estimator for Panel Cointegration With Global Stochastic Trends and Heterogeneous Panel
Document Type
Presentation
Publication Date
8-3-2011
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.
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."
Logistics & Supply Chain Management Faculty Presentations.
Presentation 46.
https://digitalcommons.georgiasouthern.edu/logistics-supply-facpres/46
