OLS, DOLS, FMOLS, cointegrated regression in panel data, panel data, time-series models, dynamic quantile regressions
The main contribution of this paper is to add to the literature by suggesting a dynamic OLS (DOLS) estimator and providing a serious comparison of the finite sample properties of the OLS, fully modified OLS (FMOLS), and DOLS estimators in panel cointegrated regression models. Monte Carlo results illustrate the sampling behavior of the proposed estimators and show that (1) the OLS estimator has a non-negligible bias in finite samples, (2) the FMOLS estimator does not improve over the OLS estimator in general, and (3) the DOLS outperforms both the OLS and FMOLS estimators.
Kao, Chihwa, "On the Estimation and Inference of a Cointegrated Regression in Panel Data" (1999). Center for Policy Research. Paper 145.
Metadata from RePEc