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Feasible estimation in cointegrated panels

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posted on 2003-08-16, 00:00 authored by Joakim WesterlundJoakim Westerlund
In this paper we propose a simple procedure for data dependent determination of the number of lags and leads to use in feasible estimation of cointegrated panel regressions. Results from Monte Carlo simulations suggests that the feasible estimators considered enjoys excellent precision in terms of root mean squared error and reasonable power with effective size hovering close to the nominal level. The good performance of the feasible estimators is verified empirically through an application to the long run money demand.

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Language

eng

Publication classification

AN.1 Other book, or book not attributed to Deakin University

Copyright notice

2003, Lund University

Publisher

Lund University

Place of publication

Lund, Sweden

Series

Working Papers

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