Spurious Regression in Nonstationary Panels with Cross-Unit Cointegration
AbstractThis paper illustrates analytically the effects of cross-unit cointegration using as an example the conventional pooled least squares estimate in the spurious panel regression case. The results suggest that the usual result of asymptotic normality depends critically on the absence of cross-unit cointegration.
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Bibliographic InfoPaper provided by Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) in its series Research Memorandum with number 057.
Date of creation: 2006
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