Abstract
This paper studies the estimation of panel cointegration models with cross-sectional dependence generated by unobserved global stochastic trends. We extend the CupFM (continuously updated and fully modified) estimators studied by Bai et al. (2009) by allowing cross-sectional heterogeneity. To remove the endogeneity caused by the cointegrated triangular system, we consider the Continuously Updated Dynamic OLS (CupDOLS). The consistent limiting distribution of the estimators is derived.
| Original language | American English |
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| State | Published - Aug 3 2011 |
| Event | Joint Statistical Meetings - Duration: Aug 3 2011 → … |
Conference
| Conference | Joint Statistical Meetings |
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| Period | 08/3/11 → … |
Disciplines
- Business Administration, Management, and Operations
- Operations and Supply Chain Management
Keywords
- Cross-sectional dependence
- Cross-sectional heterogeneity
- Dynamic OLS estimator
- Factor analysis
- Fully-modified estimator
- Panel cointegration