Spurious Regression in Nonstationary Panels time Series with Cross-Member Cointegration

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

Research output: Working paperProfessional

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Abstract

This paper illustrates analytically the effects of cross-unit cointegration using as an example the conventional pooled least squares estimate in the spurious panel time series
regression case. The results suggest that the usual result of asymptotic normality depends critically on the absence of cross-unit cointegration.
Original languageEnglish
Place of Publicationonbekend
PublisherMETEOR, Maastricht University School of Business and Economics
DOIs
Publication statusPublished - 1 Jan 2008

Publication series

SeriesMETEOR Research Memorandum
Number044
ISSN2666-8815

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