Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/54675
Authors: 
Di Iorio, Francesca
Fachin, Stefano
Year of Publication: 
2012
Series/Report no.: 
Economics Discussion Papers 2012-1
Abstract: 
We 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.
Subjects: 
Panel cointegration
FM-OLS
FM-SUR
DOLS
DSUR
JEL: 
C15
C23
C33
Creative Commons License: 
http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
Document Type: 
Working Paper

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