期刊
ECONOMETRIC REVIEWS
卷 24, 期 2, 页码 151-173出版社
TAYLOR & FRANCIS INC
DOI: 10.1081/ETC-200067895
关键词
cointegrated systems; estimation; inference; panel data
In this article, a parametric framework for estimation and inference in cointegrated panel data models is considered that is based on a cointegrated VAR(p) model. A convenient two-step estimator is suggested where, in the first step, all individual specific parameters are estimated, and in the second step, the long-run parameters are estimated from a pooled least-squares regression. The two-step estimator and related test procedures can easily be modified to account for contemporaneously correlated errors, a feature that is often encountered in multi-country studies. Monte Carlo simulations suggest that the two-step estimator and related test procedures outperform semiparametric alternatives such as the fully modi.ed OLS approach, especially if the number of time periods is small.
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