Data dependent endogeneity correction in cointegrated panels
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.
Department/s
Publishing year
2005
Language
English
Pages
691-705
Publication/Series
Oxford Bulletin of Economics and Statistics
Volume
67
Issue
5
Links
Document type
Journal article
Publisher
Wiley-Blackwell
Topic
- Economics
Status
Published
ISBN/ISSN/Other
- ISSN: 1468-0084