| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0292 |
| 来源ID | Technical Working Paper 0292 |
| Dynamic Seemingly Unrelated Cointegrating Regression | |
| Nelson C. Mark; Masao Ogaki; Donggyu Sul | |
| 发表日期 | 2003-04-07 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | Multiple cointegrating regressions are frequently encountered in empirical work as, for example, in the analysis of panel data. When the equilibrium errors are correlated across equations, the seemingly unrelated regression estimation strategy can be applied to cointegrating regressions to obtain asymptotically ecient estimators. While non-parametric methods for seemingly unrelated cointegrating regressions have been proposed in the literature, in practice, specification of the estimation problem is not always straightforward. We propose Dynamic Seemingly Unrelated Regression (DSUR) estimators which can be made fully parametric and are computationally straightforward to use. We study the asymptotic and small sample properties of the DSUR estimators both for heterogeneous and homogenous cointegrating vectors. The estimation techniques are then applied to analyze two long-standing problems in international economics. Our first application revisits the issue of whether the forward exchange rate is an unbiased predictor of the future spot rate. Our second application revisits the problem of estimating long-run correlations between national investment and national saving. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/t0292 |
| 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/567219 |
| 推荐引用方式 GB/T 7714 | Nelson C. Mark,Masao Ogaki,Donggyu Sul. Dynamic Seemingly Unrelated Cointegrating Regression. 2003. |
| 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 | ||
| t0292.pdf（407KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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