Estimation from cross-sections of integrated time-series
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.
|Date of creation:||1998|
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