Overview
Nelson C. Mark is an international macroeconometrician, at the time of the DSUR paper at Ohio State University (later University of Notre Dame). He specializes in exchange rate economics, panel cointegration, and nonstationary panel econometrics. He co-developed the DSUR estimator and the panel DOLS procedure.
Key Contributions / Features
- DSUR estimator (Mark-Ogaki-Sul 2003, NBER TWP 292): asymptotically efficient SUR-GLS estimator for systems of cointegrating regressions; applied to forward exchange rate and Feldstein-Horioka puzzles.
- Panel DOLS (Mark-Sul 1999): computationally simple panel cointegration vector estimator; precursor to DSUR.
- Cantor-Mark (1988): early study of international business cycle transmission.
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