Least squares asymptotics in spurious and cointegrated panel regressions with common and idiosyncratic stochastic trends

Urbain, Jean-Pierre and Westerlund, Joakim 2011, Least squares asymptotics in spurious and cointegrated panel regressions with common and idiosyncratic stochastic trends, Oxford bulletin of economics and statistics, vol. 73, no. 1, pp. 119-139.

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Title Least squares asymptotics in spurious and cointegrated panel regressions with common and idiosyncratic stochastic trends
Author(s) Urbain, Jean-Pierre
Westerlund, Joakim
Journal name Oxford bulletin of economics and statistics
Volume number 73
Issue number 1
Start page 119
End page 139
Total pages 21
Publisher Wiley
Place of publication London, England
Publication date 2011-02
ISSN 0305-9049
1468-0084
Summary 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.
Language eng
Field of Research 159999 Commerce, Management, Tourism and Services not elsewhere classified
Socio Economic Objective 970115 Expanding Knowledge in Commerce, Management, Tourism and Services
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2011, Blackwell Publishing
Persistent URL http://hdl.handle.net/10536/DRO/DU:30046284

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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