On the Estimation and Inference of a Cointegrated Regression in Panel Data
نویسندگان
چکیده
In this paper, we study the asymptotic distributions for least-squares (OLS), fully modi ed (FM), and dynamic OLS (DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FM, and DOLS estimators are all asymptotically normally distributed. However, the asymptotic distribution of the OLS estimator is shown to have a non-zero mean. Monte Carlo results examine the sampling behavior of the proposed estimators and show that (1) the OLS estimator has a non-negligible bias in nite samples, (2) the FM estimator does not improve over the OLS estimator in general, and (3) the DOLS out-performs both the OLS and FM estimators.
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 ...
متن کاملBayesian Inference for Spatial Beta Generalized Linear Mixed Models
In some applications, the response variable assumes values in the unit interval. The standard linear regression model is not appropriate for modelling this type of data because the normality assumption is not met. Alternatively, the beta regression model has been introduced to analyze such observations. A beta distribution represents a flexible density family on (0, 1) interval that covers symm...
متن کاملEstimation of coal proximate analysis factors and calorific value by multivariable regression method and adaptive neuro-fuzzy inference system (ANFIS)
The proximate analysis is the most common form of coal evaluation and it reveals the quality of a coal sample. It examines four factors including the moisture, ash, volatile matter (VM), and fixed carbon (FC) within the coal sample. Every factor is determined through a distinct experimental procedure under ASTM specified conditions. These determinations are time consuming and require a signific...
متن کاملThe Effect of Corruption on Shadow Economy: An Empirical Analysis Based on Panel Data
Quite often shadow economy (SE) and corruption are seen as "twins", which need each other or fight against each other and theoretically can be either complements or substitutes. Therefore, the relationship between SE and corruption has been a controversial and polemical issue and in the spotlight of a remarkable collection of economists and social researchers. The main objective of this study ...
متن کاملSample size determination for logistic regression
The problem of sample size estimation is important in medical applications, especially in cases of expensive measurements of immune biomarkers. This paper describes the problem of logistic regression analysis with the sample size determination algorithms, namely the methods of univariate statistics, logistics regression, cross-validation and Bayesian inference. The authors, treating the regr...
متن کامل