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

J.R.Y.J. Urbain and Joakim Westerlund
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J.R.Y.J. Urbain: RS: GSBE EFME, Quantitative Economics

No 44, Research Memorandum from Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)

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.

Date: 2008-01-01
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Persistent link: https://EconPapers.repec.org/RePEc:unm:umamet:2008044

DOI: 10.26481/umamet.2008044

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