Jérôme, Adda; Jean-Marc, Robin - In: The B.E. Journal of Economic Analysis & Policy 2 (2003) 1, pp. 1-43
This paper studies under which conditions a cross-sectional regression yields unbiased estimates of the parameters of an individual dynamic model with fixed effects and individual-specific responses to macro shocks. We show that the OLS estimation of a relationship involving non stationary...