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Full-Text Articles in Mathematics
A Monte Carlo Comparison Of Tests For Cointegration In Panel Data, Chihwa Kao
A Monte Carlo Comparison Of Tests For Cointegration In Panel Data, Chihwa Kao
Center for Policy Research
This paper surveys recent developments and provides Monte Carlo comparison on various tests proposed for cointegration in panel data. In particular, tests for two panel models, varying intercepts and varying slopes, and varying intercepts and common slopes are presented from the literature with a total of seven tests being simulated. In all cases, results on empirical size and size-adjusted power are given.
On The Estimation And Inference Of A Cointegrated Regression In Panel Data, Chihwa Kao
On The Estimation And Inference Of A Cointegrated Regression In Panel Data, Chihwa Kao
Center for Policy Research
The main contribution of this paper is to add to the literature by suggesting a dynamic OLS (DOLS) estimator and providing a serious comparison of the finite sample properties of the OLS, fully modified OLS (FMOLS), and DOLS estimators in panel cointegrated regression models. Monte Carlo results illustrate the sampling behavior of the proposed estimators and show that (1) the OLS estimator has a non-negligible bias in finite samples, (2) the FMOLS estimator does not improve over the OLS estimator in general, and (3) the DOLS outperforms both the OLS and FMOLS estimators.