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Full-Text Articles in Mathematics
International R&D Spillovers: An Application Of Estimation And Inference In Panel Cointegration, Chihwa Kao, Min-Hsien Chiang, Bangtian Chen
International R&D Spillovers: An Application Of Estimation And Inference In Panel Cointegration, Chihwa Kao, Min-Hsien Chiang, Bangtian Chen
Center for Policy Research
In this paper, we apply the asymptotic theory of panel cointegration developed by Kao and Chiang (1997) to Coe and Helpman's (1995) international R&D spillovers regression. The OLS with bias-correction, the fully-modified (FM) and the dynamic OLS (DOLS) estimations produce different predictions about the impact of foreign R&D on total factor productivity (TFP), although all the estimations support the result that domestic R&D is related to TFP.
On The Estimation Of A Linear Time Trend Regression With A One-Way Error Component Model In The Presence Of Serially Correlated Errors, Chihwa Kao, Jamie Emerson
On The Estimation Of A Linear Time Trend Regression With A One-Way Error Component Model In The Presence Of Serially Correlated Errors, Chihwa Kao, Jamie Emerson
Center for Policy Research
In this paper we study the limiting distributions for ordinary least squares (OLS), fixed effects (FE), first difference (FD), and generalized least squares (GLS) estimators in a linear time trend regression with a one-way error component model in the presence of serially correlated errors. We show that when the error term is I(0), the FE is asymptotically equivalent to the GLS. However, when the error term is I(1) the GLS could be less efficient than the FD or FE estimators, and the FD is the most efficient estimator. However, when the intercept is included in the model and the error …