Kao, Chihwa; Chiang, Min-Hsien - 1997
In this paper, we study the asymptotic distributions for least-squares (OLS), fully modified (FM), and dynamic OLS … (DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FM, and DOLS estimators are all … asymptotically normally distributed. However, the asymptotic distribution of the OLS estimator is shown to have a non-zero mean …