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

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

doi:10.26481/umamet.2008044

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

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

Quantitative Economics

Research output: Working paper / Preprint › Working paper

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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 language	English
Place of Publication	onbekend
Publisher	METEOR, Maastricht University School of Business and Economics
DOIs	https://doi.org/10.26481/umamet.2008044
Publication status	Published - 1 Jan 2008

Publication series

Series	METEOR Research Memorandum
Number	044
ISSN	2666-8815

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10.26481/umamet.2008044

RM08044Final published version, 208 KB

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

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