Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference
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DOI: 10.1080/07474938.2023.2178141
Abstract: Abstract We develop group-mean fully modified OLS (FM-OLS) estimation and inference for panels of cointegrating polynomial regressions, i.e., regressions that include an integrated process and its powers as explanatory variables. The stationary errors are allowed… read more here.
Keywords: fully modified; inference; group; modified ols ... See more keywords