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Least Squares Asymptotics in Spurious and Cointegrated Panel Regressions with Common and Idiosyncratic Stochastic Trends* |
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| Authors: | Jean‐Pierre Urbain Joakim Westerlund |
| Institution: | 1. Department of Quantitative Economics, Maastricht University, P.O. Box 616, 6200 MD Maastricht, The Netherlands (e‐mail:j.urbain@ke.unimaas.nl);2. Department of Economics, University of Gothenburg, P.O. Box 640, SE 405 30 Gothenburg, Sweden (e‐mail: joakim.westernlund@economics.gu.se) |
| Abstract: | 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. |
| Keywords: | C13 C33 |