Cointegration Vector Estimation by Panel DOLS and Long‐run Money Demand*

By Nelson C. Mark, Donggyu Sul. 2002

842 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/17a1633e19098aaefaccbd68cf137329dfb1554a

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In Economics and Econometrics

Citations in the corpus

Infrastructure and Growth: Empirical Evidence (2009, methodology): “…equation is estimated, first, as follows:17 tbnbbsbby iitiiti K itiiit 43210 )ln(inf)ln()ln( ++++= (4) The estimation is done using Dynamic OLS, which has favourable asymptotic and finite-sample properties (see Stock and Watson, 1993 or Mark and Sul, 2003) in estimating a long run relationship.”
Testing for Purchasing Power Parity in Cointegrated Panels (2007, positive): “Important contributions in this …eld have been made by for instance Pedroni (1995), McKoskey and Kao (1998) and Kao (1999) regarding tests and by Pedroni (1996), Phillips and Moon (1999), Kao and Chiang (2000) and Mark and Sul (2003) regarding estimation of the cointegrating vectors.”
What role of renewable and non-renewable electricity consumption and output is needed to initially mitigate CO2 emissions in MENA region? (2014, methodology): “The relationship between the indicators of environmental degradation (such as Carbone dioxide (CO2), Nitrogen oxides (NOX), Sulfur dioxide (SO2), etc.), energy (or electricity) consumption and economic growth is one of the important studies that needs to be explored in the literature review, but the”
Long-Run Money Demand in the New EU Member States with Exchange Rate Effects (2007, positive): “According to Mark and Sul (2002), a panel DOLS estimator is obtained using a two-step procedure.”
The Environmental Kuznets Curve and Sustainability: A Panel Data Analysis (2014, positive): “According to the DOLS approach, that initially suggested by Saikkonen (1991) for the case of time series analysis and then adapted by Kao and Chiang (2001) and Mark and Sul (2003) for the case of panel data analysis, the concerning estimator is coming from Eq.”
Do Natural Resources Attract Nonresource FDI? (2013, methodology): “One can correct for this correlation by including leads and lags of the first difference of the I(1) independent variables in the regression— dynamic OLS or D-OLS (Kao & Chiang, 2000; Mark & Sul, 2003).”
Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors (2015, positive): “4Earlier literature on large panels typically ignores cross section dependence of errors, including pooled mean group estimation proposed by Pesaran, Shin, and Smith (1999), fully modified OLS estimation by Pedroni (2000) or the panel dynamic OLS estimation by Mark and Sul (2003).”
Panel cointegration with global stochastic trends (2008, neutral): “t=1 w it d −→  B ui Bεi Bη  = [ B ui Bbi ] = BM ( Ωi ) as T →∞, (27)”
The Euro Effect on Trade is not as Large as Commonly Thought (2007, positive): “However, the estimates and standard errors for GDPijt and GDPCAPijt are now based on the Mark and Sul (2003) panel dynamic OLS estimator using the Newey and West (1987, 1994) method for long run variance estimation. DOLS requires choosing the number of leads and lags. We have used all combinations b”
The Carbon Kuznets Curve: A Cloudy Picture Emitted by Bad Econometrics? (2008, methodology): “The panel extensions of D-OLS are discussed in Kao and Chiang (2000) and Mark and Sul (2003).”
A NEW PANEL DATA TREATMENT FOR HETEROGENEITY IN TIME TRENDS (2012, background): “Work by Park and Simar (1994), Park, Sickles, and Simar (1998, 2003, 2007), and Sickles (2005) has focused on semiparametric efficient panel data estimators for the standard fixed and random effects models with various specifications, including autoregressive errors and dynamic models.”