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Data Dependent Endogeneity Correction in Cointegrated Panels*
Authors:Joakim Westerlund
Abstract:This paper examines the small‐sample performance of several information based criteria that can be employed to facilitate data dependent endogeneity correction in estimation of cointegrated panel regressions. The Monte Carlo evidence suggests that the criteria generally perform well but that there are differences of practical importance. In particular, the evidence suggests that, although the estimators of the cointegration vectors generally perform well, the criterion with best small‐sample performance also leads to the best performing estimator.
Keywords:C33  C13  C15  C82
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