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.
regression case. The results suggest that the usual result of asymptotic normality depends critically on the absence of cross-unit cointegration.
Original language | English |
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Place of Publication | onbekend |
Publisher | METEOR, Maastricht University School of Business and Economics |
DOIs | |
Publication status | Published - 1 Jan 2008 |
Publication series
Series | METEOR Research Memorandum |
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Number | 044 |
ISSN | 2666-8815 |