Template-type: ReDif-Paper 1.0
Author-Name: Urbain, J.R.Y.J.
Author-workplace-name: RS: GSBE EFME, Quantitative Economics
Author-Name: Westerlund, J.
Author-workplace-name: Externe publicaties SBE
Title: Spurious Regression in Nonstationary Panels time Series with Cross-Member 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 time series<br/>regression case. The results suggest that the usual result of asymptotic normality depends critically on the absence of cross-unit cointegration.
Series: METEOR Research Memorandum
Creation-Date: 20080101
Number: 044
File-URL: https://cris.maastrichtuniversity.nl/ws/files/49675399/RM08044.pdf
File-Format: application/pdf
File-Size: 212745
Handle: Repec:unm:umamet:2008044
DOI: 10.26481/umamet.2008044