Spurious Regression in Nonstationary Panels with Cross-Unit Cointegration

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.

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Year of publication:	2006
Authors:	Urbain, Jean-Pierre ; Westerlund, Joakim
Institutions:	Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization
Subject:	econometrics

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Extent:	application/pdf
Series:	Research Memoranda.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series Research Memoranda Number 057
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005220011