Data dependent endogeneity correction in cointegrated panels

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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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  • Economics
Original languageEnglish
Pages (from-to)691-705
JournalOxford Bulletin of Economics and Statistics
Volume67
Issue number5
Publication statusPublished - 2005
Publication categoryResearch
Peer-reviewedYes