New results for nonstationary panel regression

Hosung Jung

Applied Economics Letters, 2008, vol. 15, issue 12, 975-979

Abstract: This article derives the limiting distributions of the Ordinary Least Squares (OLS) and Least Square Dummy Variable (LSDV) estimators in both spurious and cointegrated panel regressions. The limit theories employed in this article are different from those of Kao (1999) and Phillips and Moon (1999), in which the time dimension of the panel is fixed.

Date: 2008
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DOI: 10.1080/13504850600972279

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