Data dependent endogeneity correction in cointegrated panels
(2005) In Oxford Bulletin of Economics and Statistics 67(5). p.691-705- Abstract
- 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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/223044
- author
- Westerlund, Joakim LU
- organization
- publishing date
- 2005
- type
- Contribution to journal
- publication status
- published
- subject
- in
- Oxford Bulletin of Economics and Statistics
- volume
- 67
- issue
- 5
- pages
- 691 - 705
- publisher
- Wiley-Blackwell
- external identifiers
-
- wos:000232146600006
- scopus:26944454013
- ISSN
- 1468-0084
- DOI
- 10.1111/j.1468-0084.2005.00137.x
- language
- English
- LU publication?
- yes
- id
- 3bbc2c53-c161-404b-a728-19e5d8d3fddc (old id 223044)
- date added to LUP
- 2016-04-01 11:37:43
- date last changed
- 2022-01-26 07:48:47
@article{3bbc2c53-c161-404b-a728-19e5d8d3fddc, abstract = {{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.}}, author = {{Westerlund, Joakim}}, issn = {{1468-0084}}, language = {{eng}}, number = {{5}}, pages = {{691--705}}, publisher = {{Wiley-Blackwell}}, series = {{Oxford Bulletin of Economics and Statistics}}, title = {{Data dependent endogeneity correction in cointegrated panels}}, url = {{http://dx.doi.org/10.1111/j.1468-0084.2005.00137.x}}, doi = {{10.1111/j.1468-0084.2005.00137.x}}, volume = {{67}}, year = {{2005}}, }