Fully modified OLS for heterogeneous cointegrated panels
Fully modified OLS for heterogeneous cointegrated panels
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DOI：
10.1016/s0731-9053(00)15004-2
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发表时间：
2001-02
期刊：
影响因子：
--
通讯作者：
P. Pedroni
中科院分区：
文献类型：
--
作者：
P. Pedroni
本章使用完全修改的 OLS 原理来开发新方法，以与最近面板单位根和面板协整研究中允许的横截面异质性程度一致的方式估计和检验动态面板中协整向量的假设。基于沿着面板“内部”和“之间”维度的池化，比较各种估计量的渐近属性。通过使用蒙特卡罗模拟研究小样本特性，即使在各种场景下相对较小的样本中，组均值估计器也表现良好。
This chapter uses fully modified OLS principles to develop new methods for estimating and testing hypotheses for cointegrating vectors in dynamic panels in a manner that is consistent with the degree of cross sectional heterogeneity that has been permitted in recent panel unit root and panel cointegration studies. The asymptotic properties of various estimators are compared based on pooling along the ‘within’ and ‘between’ dimensions of the panel. By using Monte Carlo simulations to study the small sample properties, the group mean estimator is shown to behave well even in relatively small samples under a variety of scenarios.