This paper is concerned with parameter estimation and inference in a cointegrating regression, where as usual endogenous regressors as well as serially correlated errors are considered. We propose a simple, new estimation method based on an augmented partial sum (integration) transformation of the regression model. The new estimator is labelled Integrated Modi…ed Ordinary Least Squares (IM-OLS)...

Cross sectional estimation of convergence regressions is known to be hazardous if there is convergence towards heterogeneous steady state values. In this paper, Monte Carlo methods are used to investigate the implications of this parameter heterogeneity problem. The cross sectional and pooled OLS estimators are compared with a panel estimator which is unaffected by heterogeneity. If there is he...

This paper examines the efficiency gains of GLS detrending over OLS detrending in the model yt = z′ tγ + ut, where z ′ t = (1, t, ..., t k−1) and ut ∼ I(d), −1/2 < d < 3/2. A famous theorem on trend removal by OLS regression (usually attributed to Grenander and Rosenblatt (1957) gave conditions for the asymptotic equivalence of GLS and OLS in deterministic trend estimation with I(0) errors. Whe...

In this paper, we consider the role of “leads” of the first difference of integrated variables in the dynamic OLS estimation of cointegrating regression models. Specifically, we investigate Stock and Watson’s (1993) claim that the role of leads is related to the concept of Granger causality by a Monte Carlo simulation. From the simulation results, we find that the dynamic OLS estimator without ...

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 s...

Time preferences vary by age. Notably, according to experimental studies, senior citizens tend to discount future payoff s more heavily than working-age individuals. Based on these fi ndings, we hypothesize that demographic change has contributed to the cut-back in government-fi nanced investment that many advanced economies experienced over the last four decades. We demonstrate for a panel of ...

The availability of user-friendly software to annotate biological datasets and experimental details is becoming essential in data management practices, both in local storage systems and in public databases. The Ontology Lookup Service (OLS, http://www.ebi.ac.uk/ols) is a popular centralized service to query, browse and navigate biomedical ontologies and controlled vocabularies. Recently, the OL...

In our previous experiments with rats, ovary lipid from Skipjack Tuna (Katsuwonus pelamis) (OLS) was shown to have a mitigating effect on anxiety and/or fear in elevated T-maze tests. This suggests that OLS has some effect on the central nervous system (CNS) of rats. Thus, we performed experiments to examine the status of CNS in rats given OLS. The effect of OLS on chronic stress was also exami...