演講者簡介 : Prof. Chihwa Kao為Ph.D. in Economics，SUNY at Stony Brook（1983）。
現為Professor, Syracuse University。
其主要研究領域為Econometrics with Panel Data 、Maximum Simulated Likelihood Estimation、
Robust Estimation、Nonlinear Time Series及Stochastic Models 。
演講摘要 : Most of the existing literature on panel data cointegration assumes cross-sectional independence, an assumption that is difficult to justify. This paper studies panel cointegration under cross-sectional dependence which we treat unobservable global stochastic trends as part of regressors. We propose a joint estimation procedure where the common slope parameters and stochastic trend can be estimated jointly. We derive the limiting distribution of a biased corrected least squares and fully modified estimators for the common slope coefficients in panel models. Simulation results suggest that our new estimators compares favorably with others in the literature.
