Discussion Paper
No. 2012-1 |
January 03, 2012
A Note on the Estimation of Long-Run Relationships in Panel Equations with Cross-Section Linkages
Abstract
The authors address the issue of estimation and inference in dependent non-stationary panels of small cross-section dimensions. The main conclusion is that the best results are obtained applying bootstrap inference to single-equation estimators, such as FM-OLS and DOLS. SUR estimators perform badly, or are even unfeasible, when the time dimension is not very large compared to the cross-section dimension.
Comments and Questions