Testing for spurious regression in a panel data model with the individual number and time length growing

Wen-Den Chen

Journal of Applied Statistics, 2006, vol. 33, issue 8, 759-772

Abstract: This article shows a test for the spurious regression problem in a panel data model with a growing individual number and time series length. In the estimation, tapers are used and the integrated order for the remainder disturbance is extended to a real number; at the same time, the spurious regression problem can be detected without prior knowledge. Through Monte Carlo experiments, we examine the consistent estimators by various sizes of time length and individual number, in which the remainder disturbance is assumed to be either stationary or non-stationary. In addition, the asymptotic normality properties are discussed with a quasi log-likelihood function. From the power tests we can see that the estimators are quite successful and powerful.

Keywords: Spurious regression; Whittle method; panel data model; pseudo spectral density function; tapering (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (1)

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DOI: 10.1080/02664760600741989

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