NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Dynamic Seemingly Unrelated Cointegrating Regression

Nelson C. Mark, Masao Ogaki, Donggyu Sul

NBER Technical Working Paper No. 292
Issued in April 2003
NBER Program(s):Technical Working Papers

Multiple cointegrating regressions are frequently encountered in empirical work as, for example, in the analysis of panel data. When the equilibrium errors are correlated across equations, the seemingly unrelated regression estimation strategy can be applied to cointegrating regressions to obtain asymptotically ecient estimators. While non-parametric methods for seemingly unrelated cointegrating regressions have been proposed in the literature, in practice, specification of the estimation problem is not always straightforward. We propose Dynamic Seemingly Unrelated Regression (DSUR) estimators which can be made fully parametric and are computationally straightforward to use. We study the asymptotic and small sample properties of the DSUR estimators both for heterogeneous and homogenous cointegrating vectors. The estimation techniques are then applied to analyze two long-standing problems in international economics. Our first application revisits the issue of whether the forward exchange rate is an unbiased predictor of the future spot rate. Our second application revisits the problem of estimating long-run correlations between national investment and national saving.

download in pdf format
   (408 K)

email paper

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/t0292

Published: Mark, Nelson C., Masao Ogaki and Donggyu Sul. "Dynamic Seemingly Unrelated Cointegrating Regressions," Review of Economic Studies, 2005, v72(252,Jul), 797-820.

Users who downloaded this paper also downloaded* these:
Mark and Sul t0287 Cointegration Vector Estimation by Panel DOLS and Long-Run Money Demand
Gordon w18315 Is U.S. Economic Growth Over? Faltering Innovation Confronts the Six Headwinds
Clark, Dollar, and Micco w10353 Port Efficiency, Maritime Transport Costs and Bilateral Trade
Stock and Watson t0083 A Simple MLE of Cointegrating Vectors in Higher Order Integrated Systems
Diebold and Shin w22516 Assessing Point Forecast Accuracy by Stochastic Error Distance
 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us