Data dependent endogeneity correction in cointegrated panels
Research output: Contribution to journal › Article
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.
|Research areas and keywords||
Subject classification (UKÄ) – MANDATORY
|Journal||Oxford Bulletin of Economics and Statistics|
|Publication status||Published - 2005|