Estimation from cross-sections of integrated time-series

Jerome Adda and Jean-Marc Robin

CEPREMAP Working Papers (Couverture Orange) from CEPREMAP

Abstract: 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.

JEL-codes: C31 C32 C52 (search for similar items in EconPapers)
Pages: 13 pages
Date: 1998
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ifn
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Persistent link: https://EconPapers.repec.org/RePEc:cpm:cepmap:9802

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