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):   TWP

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

This paper is available as PDF (408 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

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
Clark, Dollar, and Micco w10353 Port Efficiency, Maritime Transport Costs and Bilateral Trade
 
Publications
Activities
Meetings
Data
People
About

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

Contact Us