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Estimation from cross-sections of integrated time-series

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Author Info
Adda, Jérôme
Robin, Jean-Marc

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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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Publisher 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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Related research
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Find related papers by JEL classification:
C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing

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References listed on IDEAS
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  1. Phillips, P C B & Durlauf, S N, 1986. "Multiple Time Series Regression with Integrated Processes," Review of Economic Studies, Blackwell Publishing, vol. 53(4), pages 473-95, August. [Downloadable!] (restricted)
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  2. Deaton, Angus & Paxson, Christina, 1994. "Intertemporal Choice and Inequality," Journal of Political Economy, University of Chicago Press, vol. 102(3), pages 437-67, June. [Downloadable!] (restricted)
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  3. Peter C.B. Phillips & Joon Y. Park, 1986. "Statistical Inference in Regressions with Integrated Processes: Part 2," Cowles Foundation Discussion Papers 819R, Cowles Foundation, Yale University, revised Feb 1987. [Downloadable!]
    Other versions:
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Edith Madsen, 2004. "Estimating Cointegrating Relations from a Cross Section," CAM Working Papers 2004-21, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics. [Downloadable!]
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This page was last updated on 2009-12-5.

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