Spurious Regression in Nonstationary Panels with Cross-Unit Cointegration

Jean-Pierre Urbain () and Joakim Westerlund
Additional contact information
Joakim Westerlund: METEOR

No 57, Research Memoranda from Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization

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 regression case. The results suggest that the usual result of asymptotic normality depends critically on the absence of cross-unit cointegration.

Keywords: econometrics (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2006
View list of references View citations in EconPapers

Downloads: (external link)
http://edocs.ub.unimaas.nl/loader/file.asp?id=1214 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:dgr:umamet:2006057

Access Statistics for this paper

More papers in Research Memoranda from Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization
Series data maintained by Willy Villevoye ().