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

J.R.Y.J. Urbain, J. Westerlund

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6 Citations (Scopus)

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 languageEnglish
Pages (from-to)119-139
Number of pages21
JournalOxford Bulletin of Economics and Statistics
Volume73
Issue number1
DOIs
Publication statusPublished - Feb 2011

Keywords

  • C13
  • C33
  • CROSS-SECTION
  • TESTS
  • MODELS

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