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

Author

Listed:
  • Urbain, J.R.Y.J.

    (RS: GSBE EFME, Quantitative Economics)

  • Westerlund, J.

    (Externe publicaties SBE)

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.

Suggested Citation

  • Urbain, J.R.Y.J. & Westerlund, J., 2008. "Spurious Regression in Nonstationary Panels time Series with Cross-Member Cointegration," Research Memorandum 044, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    • Handle: RePEc:unm:umamet:2008044
    DOI: 10.26481/umamet.2008044
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    References listed on IDEAS

    as
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    5. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December.
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