Dynamic seemingly unrelated cointegrating regressions

Nelson C. Mark, Masao Ogaki, Donggyu Sul

研究成果: Article査読

121 被引用数 (Scopus)

抄録

We propose the parametric Dynamic Seemingly Unrelated Regression (DSUR) estimator for simultaneous estimation of multiple cointegrating regressions. DSUR is efficient when the equilibrium errors are correlated across equations and is applicable for panel cointegration estimation in environments where the cross section is small relative to the available time series. We study the asymptotic and small sample properties of the DSUR estimator for both heterogeneous and homogeneous cointegrating vectors. We then apply the method to analyse two long-standing problems in international economics. Our first application revisits the estimation of long-run correlations between national investment and national saving. Our second application revisits the question of whether the forward exchange rate is an unbiased predictor of the future spot rate.

本文言語English
ページ(範囲)797-820
ページ数24
ジャーナルReview of Economic Studies
72
3
DOI
出版ステータスPublished - 2005 7月
外部発表はい

ASJC Scopus subject areas

  • 経済学、計量経済学

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