Estimation from cross-sections of integrated time-series

This paper studies under which conditions a cross-section regression yields unbiased estimates of the parapeters of an individual dynamic model with fixed effects and individual-specific responses to macro-shocks. We show that the OLS estimation of a system of non stationary variables on a cross-section yields estimates which converge to the true value when calendar time trends to infinity.

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Year of publication:	1998
Authors:	Adda, Jérôme ; Robin, Jean-Marc
Institutions:	Centre pour la Recherche Économique et ses Applications (CEPREMAP)

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Extent:	application/postscript application/pdf
Series:	CEPREMAP Working Papers (Couverture Orange).
Type of publication:	Book / Working Paper
Notes:	13 pages
Classification:	C31 - Cross-Sectional Models; Spatial Models ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005176592