TY  - JOUR
AU  - Mark,Nelson C.
AU  - Ogaki,Masao
AU  - Sul,Donggyu
TI  - Dynamic Seemingly Unrelated Cointegrating Regression
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 292
PY  - 2003
Y2  - April 2003
UR  - http://www.nber.org/papers/t0292
L1  - http://www.nber.org/papers/t0292.pdf
N1  - Author contact info:
Nelson Mark
Department of Economics
University of Notre Dame
434 Flanner
Notre Dame, IN  46556
Tel: 574/631-0518
Fax: 574/631-4783
E-Mail: nmark@nd.edu

Masao Ogaki
Keio University
Tokyo, Japan
E-Mail: mogaki@econ.keio.ac.jp

Donggyu Sul
University of Texas at Dallas
E-Mail: d.sul@utdallas.edu
AB  - 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.
ER  -