02429cam a22002657 4500001000600000003000500006005001700011008004100028100002000069245013100089260006600220490005100286500001900337520123600356530006101592538007201653538003601725690011001761690007301871700001801944710004201962830008602004856003702090856003602127t0287NBER20140916020401.0140916s2002 mau||||fs|||| 000 0 eng d1 aMark, Nelson C.10aCointegration Vector Estimation by Panel DOLS and Long-Run Money Demandh[electronic resource] /cNelson C. Mark, Donggyu Sul. aCambridge, Mass.bNational Bureau of Economic Researchc2002.1 aNBER technical working paper seriesvno. t0287 aDecember 2002.3 aWe study the panel DOLS estimator of a homogeneous cointegration vector for a balanced panel of N individuals observed over T time periods. Allowable heterogeneity across individuals include individual-specific time trends, individual-specific fixed effects and time-specific effects. The estimator is fully parametric, computationally convenient, and more precise than the single equation estimator. For fixed N as T approaches infinity, the estimator converges to a function of Brownian motions and the Wald statistic for testing a set of linear constraints has a limiting chi-square distribution. The estimator also has a Gaussian sequential limit distribution that is obtained first by letting T go to infinity then letting N go to infinity. In a series of Monte Carlo experiments, we find that the asymptotic distribution theory provides a reasonably close approximation to the exact finite sample distribution. We use panel dynamic OLS to estimate coefficients of the long-run money demand function from a panel of 19 countries with annual observations that span from 1957 to 1996. The estimated income elasticity is 1.08 (asymptotic s.e.=0.26) and the estimated interest rate semi-elasticity is -0.02 (asymptotic s.e.=0.01). aHardcopy version available to institutional subscribers. aSystem requirements: Adobe [Acrobat] Reader required for PDF files. aMode of access: World Wide Web. 7aC1 - Econometric and Statistical Methods and Methodology: General2Journal of Economic Literature class. 7aE4 - Money and Interest Rates2Journal of Economic Literature class.1 aSul, Donggyu.2 aNational Bureau of Economic Research. 0aTechnical Working Paper Series (National Bureau of Economic Research)vno. t0287.4 uhttp://www.nber.org/papers/t028741uhttp://dx.doi.org/10.3386/t0287