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Practitioners' corner: data dependent endogeneity correction in cointegrated panels

Westerlund, Joakim 2005, Practitioners' corner: data dependent endogeneity correction in cointegrated panels, Oxford bulletin of economics and statistics, vol. 67, no. 5, pp. 691-705, doi: 10.1111/j.1468-0084.2005.00137.x.

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Title Practitioners' corner: data dependent endogeneity correction in cointegrated panels
Author(s) Westerlund, Joakim
Journal name Oxford bulletin of economics and statistics
Volume number 67
Issue number 5
Start page 691
End page 705
Total pages 15
Publisher Wiley
Place of publication Chichester, Eng.
Publication date 2005-10
ISSN 0305-9049
1468-0084
Keyword(s) Social Sciences
Science & Technology
Physical Sciences
Economics
Social Sciences, Mathematical Methods
Statistics & Probability
Business & Economics
Mathematical Methods In Social Sciences
Mathematics
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Summary 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. © Blackwell Publishing Ltd, 2005.
Language eng
DOI 10.1111/j.1468-0084.2005.00137.x
Field of Research 150202 Financial Econometrics
Socio Economic Objective 919999 Economic Framework not elsewhere classified
HERDC Research category C1.1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2005, Wiley
Persistent URL http://hdl.handle.net/10536/DRO/DU:30078232

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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