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Data dependent endogeneity correction in cointegrated panels

Westerlund, Joakim LU (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.
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author
organization
publishing date
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
2007-08-10 09:46:32
date last changed
2017-01-01 04:23:09
@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},
  volume       = {67},
  year         = {2005},
}