Scandinavian Working Papers in Economics
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Department of Economics, Lund University Working Papers, Department of Economics, Lund University

No 2003:12:
Feasible Estimation in Cointegrated Panels

Joakim Westerlund ()

Abstract: In this paper we propose a simple procedure for data dependent determination of the number of lags and leads to use in feasible estimation of cointegrated panel regressions. Results from Monte Carlo simulations suggests that the feasible estimators considered enjoys excellent precision in terms of root mean squared error and reasonable power with effective size hovering close to the nominal level. The good performance of the feasible estimators is verified empirically through an application to the long run money demand.

Keywords: Panel Cointegration Estimation; Monte Carlo Simulation; (follow links to similar papers)

JEL-Codes: C13; C15; C33; C82; (follow links to similar papers)

8 pages, August 16, 2003, Revised November 10, 2003

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This paper is published as:
Westerlund, Joakim, (2005), 'Data Dependent Endogeneity Correction in Cointegrated Panels', Oxford Bulletin of Economics and Statistics, Vol. 67, No. 5, pages 691-705

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