BIROn - Birkbeck Institutional Research Online

    Small sample properties of panel time-series estimators with I(1) errors

    Coakley, Jerry and Fuertes, A.-M. and Smith, Ron P. (2001) Small sample properties of panel time-series estimators with I(1) errors. Computing in Economics and Finance 191 ,

    Full text not available from this repository.

    Abstract

    Monte Carlo simulations are used to explore the small-sample properties of a mean group and two pooled panel estimators of a regression coefficient when the regressor is I(1). We compare and contrast the effect of I(0) and I(1) errors and homogeneous and heterogeneous coefficients in a design based on two typical PPP panels. The results confirm that the asymptotic theory is relevant to practical applications. With I(0) errors and homogeneous coefficients, the estimators are unbiased, dispersion depends on the signal-noise ratio and falls at rate T(rootN) as expected. With I(1) errors and no cointegration, dispersion falls at rate rootN. When heterogeneity is introduced with I(0) errors, the dispersion of the pooled estimators falls at rate root N, but that of the mean group continues to fall at rate T(rootN). Finally, the pooled estimators are likely to lead to distorted inference both in the case of I(1) errors and the case of I(0) errors with heterogeneous coefficients case. The mean group estimators are, however, are generally correctly sized.

    Metadata

    Item Type: Article
    School: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Sarah Hall
    Date Deposited: 27 Oct 2020 17:32
    Last Modified: 30 Nov 2021 11:25
    URI: https://eprints.bbk.ac.uk/id/eprint/41083

    Statistics

    Downloads
    Activity Overview
    0Downloads
    58Hits

    Additional statistics are available via IRStats2.

    Archive Staff Only (login required)

    Edit/View Item Edit/View Item