Estimation and inference of a cointegrated regression in panel data: A monte carlo study

American Journal of Mathematical and Management Sciences

Volumn 19, Issue 1-2, 1999, Pages 75-114

  Chen, Bangtian ^a   Mc Coskey, Suzanne K ^b   Kao, Chihwa ^a  

^a SYRACUSE UNIVERSITY   (United States)

^b UNITED STATES NAVAL ACADEMY   (United States)

Author keywords

Cointegration; Monte Carlo simulation; Panel data

Indexed keywords

ASYMPTOTIC STABILITY; COMPUTER SIMULATION; LEAST SQUARES APPROXIMATIONS; MONTE CARLO METHODS; NORMAL DISTRIBUTION; RANDOM NUMBER GENERATION; TIME SERIES ANALYSIS; VECTORS;

COINTEGRATED REGRESSION; LEAST SQUARES DUMMY VARIABLE ESTIMATOR; PANEL DATA;

REGRESSION ANALYSIS;

EID: 0033308026     PISSN: 01966324     EISSN: None     Source Type: Journal    
DOI: 10.1080/01966324.1999.10737475     Document Type: Article

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