A Parametric approach to the Estimation of Cointegration Vectors in Panel Data
نویسندگان
چکیده
منابع مشابه
A parametric approach to the estimation of cointegration vectors in panel data
In this paper a parametric framework for estimation and inference in cointegrated panel data models is considered that is based on a cointegrated VAR(p) model. A convenient two-step estimator is suggested where in the first step all individual specific parameters are estimated, whereas in the second step the long-run parameters are estimated from a pooled least-squares regression. The two-step ...
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ژورنال
عنوان ژورنال: Econometric Reviews
سال: 2005
ISSN: 0747-4938,1532-4168
DOI: 10.1081/etc-200067895