Panel cointegrating polynomial regressions: Group-mean fully modified OLS estimation and inference

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dc.contributor.authorWagner, Martin
dc.contributor.authorReichold, Karsten
dc.date.accessioned2018-11-13T12:32:37Z
dc.date.available2018-11-13T12:32:37Z
dc.date.issued2018
dc.description.abstractThis paper considers group-mean fully modified OLS estimation for a panel of cointegrating polynomial regressions, i. e., regressions that include an integrated process and its powers as explanatory variables. The stationary errors are allowed to be serially correlated, the regressor to be endogenous and { as usual in the nonstationary panel literature { we include individual specific fixed effects. We consider a fixed cross-section dimension, asymptotics in the time dimension only and show that the estimator allows for standard asymptotic inference in this setting. In both the simulations as well as an illustrative application estimating environmental Kuznets curves for carbon dioxide emissions we compare our group-mean estimator with the pooled fully modified OLS estimator of de Jong and Wagner (2018).en
dc.identifier.urihttp://hdl.handle.net/2003/37669
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-19664
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB823;27/2018en
dc.subjectcointegrationen
dc.subjectpolynomial transformationen
dc.subjectpanel dataen
dc.subjectgroup-mean estimationen
dc.subjectfully modified OLSen
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.subject.rswkKointegrationde
dc.subject.rswkOLS-Schätzungde
dc.titlePanel cointegrating polynomial regressions: Group-mean fully modified OLS estimation and inferenceen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access
eldorado.secondarypublicationfalsede

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