Least Squares Asymptotics in Spurious and Cointegrated Panel Regressions with Common and Idiosyncratic Stochastic Trends

J.R.Y.J. Urbain; J. Westerlund

doi:10.1111/j.1468-0084.2010.00605.x

Least Squares Asymptotics in Spurious and Cointegrated Panel Regressions with Common and Idiosyncratic Stochastic Trends

J.R.Y.J. Urbain^*, J. Westerlund

^*Corresponding author for this work

Research output: Contribution to journal › Article › Academic › peer-review

Abstract

This article makes an analytical study of the effects of the presence of both common and idiosyncratic stochastic trends on the pooled least squares estimator. The results suggest that the usual result of asymptotic normality depends critically on the absence of the common stochastic trend.

Original language	English
Pages (from-to)	119-139
Number of pages	21
Journal	Oxford Bulletin of Economics and Statistics
Volume	73
Issue number	1
DOIs	https://doi.org/10.1111/j.1468-0084.2010.00605.x
Publication status	Published - Feb 2011

Keywords

C13
C33
CROSS-SECTION
TESTS
MODELS

Access to Document

10.1111/j.1468-0084.2010.00605.x

Cite this

@article{09c3d949b809409190981a24a9ad945f,

title = "Least Squares Asymptotics in Spurious and Cointegrated Panel Regressions with Common and Idiosyncratic Stochastic Trends",

abstract = "This article makes an analytical study of the effects of the presence of both common and idiosyncratic stochastic trends on the pooled least squares estimator. The results suggest that the usual result of asymptotic normality depends critically on the absence of the common stochastic trend.",

keywords = "C13, C33, CROSS-SECTION, TESTS, MODELS",

author = "J.R.Y.J. Urbain and J. Westerlund",

year = "2011",

month = feb,

doi = "10.1111/j.1468-0084.2010.00605.x",

language = "English",

volume = "73",

pages = "119--139",

journal = "Oxford Bulletin of Economics and Statistics",

issn = "0305-9049",

publisher = "Wiley-Blackwell",

number = "1",

}

TY - JOUR

T1 - Least Squares Asymptotics in Spurious and Cointegrated Panel Regressions with Common and Idiosyncratic Stochastic Trends

AU - Urbain, J.R.Y.J.

AU - Westerlund, J.

PY - 2011/2

Y1 - 2011/2

N2 - This article makes an analytical study of the effects of the presence of both common and idiosyncratic stochastic trends on the pooled least squares estimator. The results suggest that the usual result of asymptotic normality depends critically on the absence of the common stochastic trend.

AB - This article makes an analytical study of the effects of the presence of both common and idiosyncratic stochastic trends on the pooled least squares estimator. The results suggest that the usual result of asymptotic normality depends critically on the absence of the common stochastic trend.

KW - C13

KW - C33

KW - CROSS-SECTION

KW - TESTS

KW - MODELS

U2 - 10.1111/j.1468-0084.2010.00605.x

DO - 10.1111/j.1468-0084.2010.00605.x

M3 - Article

SN - 0305-9049

VL - 73

SP - 119

EP - 139

JO - Oxford Bulletin of Economics and Statistics

JF - Oxford Bulletin of Economics and Statistics

IS - 1

ER -

Least Squares Asymptotics in Spurious and Cointegrated Panel Regressions with Common and Idiosyncratic Stochastic Trends

Abstract

Keywords

Access to Document

Fingerprint

Cite this