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Practitioners' corner: data dependent endogeneity correction in cointegrated panels

journal contribution
posted on 2005-10-01, 00:00 authored by Joakim WesterlundJoakim Westerlund
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.

History

Journal

Oxford bulletin of economics and statistics

Volume

67

Pagination

691-705

Location

Chichester, Eng.

ISSN

0305-9049

eISSN

1468-0084

Language

eng

Publication classification

C1.1 Refereed article in a scholarly journal

Copyright notice

2005, Wiley

Issue

5

Publisher

Wiley

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