Least Squares Asymptotics in Spurious and Cointegrated Panel Regressions with Common and Idiosyncratic Stochastic Trends

作者:Urbain Jean Pierre*; Westerlund Joakim
来源:Oxford Bulletin of Economics and Statistics, 2011, 73(1): 119-139.
DOI:10.1111/j.1468-0084.2010.00605.x

摘要

This article makes an analytical study of the effects of the presence of both common and idiosyncratic stochastic trends on the pooled least squares estimator. The results suggest that the usual result of asymptotic normality depends critically on the absence of the common stochastic trend.

  • 出版日期2011-2