| Panel cointegration with global stochastic trends | |
| Bai, Jushan ; Kao, Chihwa ; Ng, Serena | |
| 2010-10-12 ; 2010-10-12 | |
| 关键词 | Panel data Common shocks Co-movements Cross-sectional dependence Factor analysis Fully-modified estimator CROSS-SECTIONAL DEPENDENCY RESIDUAL-BASED TESTS UNIT-ROOT TESTS HETEROGENEOUS PANELS REGRESSION INFERENCE NUMBER Economics Mathematics, Interdisciplinary Applications Social Sciences, Mathematical Methods |
| 中文摘要 | This paper studies estimation of panel cointegration models with cross-sectional dependence generated by unobserved global stochastic trends. The standard least squares estimator is, in general, inconsistent owing to the spuriousness induced by the unobservable 1(1) trends. We propose two iterative procedures that jointly estimate the slope parameters and the stochastic trends. The resulting estimators are referred to respectively as CupBC (continuously-updated and bias-corrected) and the CupFM (continuously-updated and fully-modified) estimators. We establish their consistency and derive their limiting distributions. Both are asymptotically unbiased and (mixed) normal and permit inference to be conducted using standard test statistics. The estimators are also valid when there are mixed stationary and non-stationary factors, as well as when the factors are all stationary. (C) 2008 Elsevier B.V. All rights reserved. |
| 语种 | 英语 ; 英语 |
| 出版者 | ELSEVIER SCIENCE SA ; LAUSANNE ; PO BOX 564, 1001 LAUSANNE, SWITZERLAND |
| 内容类型 | 期刊论文 |
| 源URL | [http://hdl.handle.net/123456789/80725]  |
| 专题 | 清华大学 |
| 推荐引用方式 GB/T 7714 | Bai, Jushan,Kao, Chihwa,Ng, Serena. Panel cointegration with global stochastic trends[J],2010, 2010. |
| APA | Bai, Jushan,Kao, Chihwa,&Ng, Serena.(2010).Panel cointegration with global stochastic trends.. |
| MLA | Bai, Jushan,et al."Panel cointegration with global stochastic trends".(2010). |
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