Template-type: ReDif-Paper 1.0
Author-Name: Urbain Jean-Pierre 
Author-Name: Westerlund Joakim 
Author-workplace-name: METEOR
Title: Spurious Regression in Nonstationary Panels with Cross-Unit Cointegration
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; 
Series: Research Memoranda
Creation-Date: 2006
Number: 057
File-URL: http://digitalarchive.maastrichtuniversity.nl/fedora/objects/guid:9bc296a3-09e4-4a10-a5b9-478a19ebf0a2/datastreams/ASSET1/content
File-Format: application/pdf
File-Size: 159887
Handle: RePEc:unm:umamet:2006057