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Data dependent endogeneity correction in cointegrated panels

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Author

Summary, in English

This paper examines the small-sample performance of several information based criteria that can be employed to facilitate data dependent endogeneity correction in estimation of cointegrated panel regressions. The Monte Carlo evidence suggests that the criteria generally perform well but that there are differences of practical importance. In particular, the evidence suggests that, although the estimators of the cointegration vectors generally perform well, the criterion with best small-sample performance also leads to the best performing estimator.

Publishing year

2005

Language

English

Pages

691-705

Publication/Series

Oxford Bulletin of Economics and Statistics

Volume

67

Issue

5

Document type

Journal article

Publisher

Wiley-Blackwell

Topic

  • Economics

Status

Published

ISBN/ISSN/Other

  • ISSN: 1468-0084