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Selected Works of Jun Liu
Presentation
A Dynamic OLS Estimator for Panel Cointegration With Global Stochastic Trends and Heterogeneous Panel
Joint Statistical Meetings
  • Jun Liu, Georgia Southern University
  • Qian Lin, Southwest University of Finance and Economics
Link
Document Type
Presentation
Presentation Date
8-3-2011
Disciplines
Abstract or Description

This paper studies the estimation of panel cointegration models with cross-sectional dependence generated by unobserved global stochastic trends. We extend the CupFM (continuously updated and fully modified) estimators studied by Bai et al. (2009) by allowing cross-sectional heterogeneity. To remove the endogeneity caused by the cointegrated triangular system, we consider the Continuously Updated Dynamic OLS (CupDOLS). The consistent limiting distribution of the estimators is derived.

Location
Miami, FL
Citation Information
Jun Liu and Qian Lin. "A Dynamic OLS Estimator for Panel Cointegration With Global Stochastic Trends and Heterogeneous Panel" Joint Statistical Meetings (2011)
Available at: http://works.bepress.com/jun_liu/40/