Affiliation:
1. University of Naples Federico II
2. University of Rome “La Sapienza”
Abstract
Abstract
The authors address the issue of estimation and inference in dependent nonstationary 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 fully modified ordinary least squares and dynamic ordinary least squares. Seemingly unrelated regression estimators perform badly, or are even unfeasible, when the time dimension is not very large compared to the cross-section dimension.
Subject
General Economics, Econometrics and Finance
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