782 | Panel Data Esonometies acrons ranks Aare: manylong-runretionshipsin economics arefreofpurtcularrne ‘srumptonsexamplesinchide purchasing power purty uncovered terest pasty andthe Fisher ination parity Estimation oflongun elations in the eas of pure ime eres model hasbeen discussed ia Section 65, and for dyn panel data mods witout crosesectional dependence has heen considered in Chapter 28 (Setions 286-2810), This section ete the etimation of long ‘an flcts to dynamic panels with mulfctor enor strutur. “Thor arc tv approach estimating long-run cocfiiets, One approach, so estimate the inva shor ran coefficients and Bin the ARDY. elation (29:49) and then compute the estimates oflong-ran eet using fru (29463) with the short-run cofcents replaced by theiretimats (3, an.) dissed in Section 29-5 SRE RD ES TORE ation aflong run of This approach is onsstent respective of whether the underyng Yacable are (0) or [(), and whether the regressors ny are tet o wealy exogenous These robustness properties as cksly important m empanicl research. Homes, the ARDL approach oasis nen dranbscks Most importantly the sompling incerta cook belarge, especially when the sped of sovergence towards the long run lation athe how and he tine dimensions not iientlng. This readily apparent from (28.63), since even asl change to 1 ~ A could have age mac onthe estimates of, when 8 close oot. ‘his respect a correct pecifeston ofl orders coul be quite important forthe performance ofthe ARDI extntes Monsove the extnateroftheshort-un coeficents are subject stall Thies “An ltrntie approsch, proposed by Chusikot at (2015) isto estimate the lng coo