A parametric approach to the estimation of cointegration vectors in panel data



for the model with a constant and

Wfk-r


= Wk-r


Wk-r


12a


aWk-r


for the model with a time trend. To estimate μr and σ2 used in Theorem
2 for the model with a constant term and a linear time trend, the Brown-
ian motions Wk-r are replaced by a (k - r) dimensional vector of Gaussian
random walks with T = 500. The mean and variances are computed from
20,000 replications of the stochastic expressions.

Table B.1: Asymptotic values of μr and σ2

constant

linear trend

sig. lev.

2         222

μr       σr

2         222

μr       σr

k — r = 1

3.051    6.826

5.301    10.94

k — r = 2

9.990    18.46

14.35   26.02

k — r = 3

20.88   35.03

27.31   45.79

k — r = 4

35.67   57.49

44.13   70.82

k — r = 5

54.33   86.00

64.71    101.9

k — r = 6

76.94    119.7

89.16    136.9

18



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