The estimation and inference of a panel cointegration model with a time trend

Min Hsien Chiang, Chihwa Kao, Chih Hsien Lo

Research output: Contribution to journalArticle

2 Scopus citations

Abstract

This article investigates the asymptotic properties of coefficient estimators in the panel cointegration model with a time trend. We find that the bias of OLS estimator for the slope coefficient in the panel cointegration model with a time trend is distinct from that in the panel cointegration model without a time trend. Meanwhile, the variance of the limiting distribution for the slope coefficient is larger in the panel cointegration model with a time trend than without a time trend.

Original languageEnglish (US)
Pages (from-to)1233-1250
Number of pages18
JournalCommunications in Statistics - Theory and Methods
Volume36
Issue number6
DOIs
StatePublished - Jan 1 2007

Keywords

  • Nonstationary panel
  • Panel cointegration
  • Time trend

ASJC Scopus subject areas

  • Statistics and Probability

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