全球智库信息集成服务系统(G2TT): Cointegration Vector Estimation by Panel DOLS and Long-Run Money Demand

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/t0287
来源ID	Technical Working Paper 0287
	Cointegration Vector Estimation by Panel DOLS and Long-Run Money Demand
	Nelson C. Mark; Donggyu Sul
发表日期	2002-12-09
出版年	2002
语种	英语
摘要	We study the panel DOLS estimator of a homogeneous cointegration vector for a balanced panel of N individuals observed over T time periods. Allowable heterogeneity across individuals include individual-specific time trends, individual-specific fixed effects and time-specific effects. The estimator is fully parametric, computationally convenient, and more precise than the single equation estimator. For fixed N as T approaches infinity, the estimator converges to a function of Brownian motions and the Wald statistic for testing a set of linear constraints has a limiting chi-square distribution. The estimator also has a Gaussian sequential limit distribution that is obtained first by letting T go to infinity then letting N go to infinity. In a series of Monte Carlo experiments, we find that the asymptotic distribution theory provides a reasonably close approximation to the exact finite sample distribution. We use panel dynamic OLS to estimate coefficients of the long-run money demand function from a panel of 19 countries with annual observations that span from 1957 to 1996. The estimated income elasticity is 1.08 (asymptotic s.e.=0.26) and the estimated interest rate semi-elasticity is -0.02 (asymptotic s.e.=0.01).
主题	Econometrics ; Estimation Methods ; Macroeconomics ; Money and Interest Rates
URL	https://www.nber.org/papers/t0287
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/566979
推荐引用方式 GB/T 7714	Nelson C. Mark,Donggyu Sul. Cointegration Vector Estimation by Panel DOLS and Long-Run Money Demand. 2002.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
t0287.pdf（395KB）	智库出版物		限制开放	CC BY-NC-SA	浏览