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Estimation from cross-sections of integrated time-series

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  • Adda, Jérôme
  • Robin, Jean-Marc

Abstract

This paper studies under which conditions a cross-section regression yields unbiased estimates of the parapeters of an individual dynamic model with fixed effects and individual-specific responses to macro-shocks. We show that the OLS estimation of a system of non stationary variables on a cross-section yields estimates which converge to the true value when calendar time trends to infinity.

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File URL: http://www.cepremap.fr/depot/couv_orange/co9802.ps
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File URL: http://www.cepremap.fr/depot/couv_orange/co9802.pdf
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Bibliographic Info

Paper provided by CEPREMAP in its series CEPREMAP Working Papers (Couverture Orange) with number 9802.

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Length: 13 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:cpm:cepmap:9802

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  1. Deaton, A. & Paxson, C., 1993. "Intertemporal Choice and Inequality," Papers, Princeton, Woodrow Wilson School - Development Studies 168, Princeton, Woodrow Wilson School - Development Studies.
  2. Park, Joon Y. & Phillips, Peter C.B., 1989. "Statistical Inference in Regressions with Integrated Processes: Part 2," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 5(01), pages 95-131, April.
  3. Park, Joon Y. & Phillips, Peter C.B., 1988. "Statistical Inference in Regressions with Integrated Processes: Part 1," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 4(03), pages 468-497, December.
  4. Phillips, P C B & Durlauf, S N, 1986. "Multiple Time Series Regression with Integrated Processes," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 53(4), pages 473-95, August.
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