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Least Squares Asymptotics in Spurious and Cointegrated Panel Regressions with Common and Idiosyncratic Stochastic Trends

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  • Jean‐Pierre Urbain
  • Joakim Westerlund

Abstract

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  • Jean‐Pierre Urbain & Joakim Westerlund, 2011. "Least Squares Asymptotics in Spurious and Cointegrated Panel Regressions with Common and Idiosyncratic Stochastic Trends," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(1), pages 119-139, February.
    • Handle: RePEc:bla:obuest:v:73:y:2011:i:1:p:119-139
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    Cited by:

    1. Gerdie Everaert & Hauke Vierke, 2016. "Demographics and Business Cycle Volatility: A Spurious Relationship?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1467-1477, November.
    2. Everaert, Gerdie, 2014. "A panel analysis of the fisher effect with an unobserved I(1) world real interest rate," Economic Modelling, Elsevier, vol. 41(C), pages 198-210.
    3. Tim Buyse & Freddy Heylen & Ruben Schoonackers, 2015. "On The Role Of Public Policies And Wage Formation For Private Investment In R&D: A Long-Run Panel Analysis," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 15/911, Ghent University, Faculty of Economics and Business Administration.
    4. Håvard Hungnes, 2016. "Using common factors to identify substitution possibilities in a factor demand system with technological changes," Discussion Papers 849, Statistics Norway, Research Department.
    5. Anindya Banerjee & Josep Lluís Carrion-i-Silvestre, 2017. "Testing for Panel Cointegration Using Common Correlated Effects Estimators," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(4), pages 610-636, July.
    6. Enrique Moral-Benito & Luis Serv鮠, 2015. "Testing weak exogeneity in cointegrated panels," Applied Economics, Taylor & Francis Journals, vol. 47(30), pages 3216-3228, June.
    7. Costantini, Mauro & Gutierrez, Luciano, 2013. "Capital mobility and global factor shocks," Economics Letters, Elsevier, vol. 120(3), pages 513-515.
    8. In Choi, 2012. "Panel Cointegration," Working Papers 1208, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
    9. Mauro Costantini & Ricardo M. Sousa, 2020. "Consumption, asset wealth, equity premium, term spread, and flight to quality," European Financial Management, European Financial Management Association, vol. 26(3), pages 778-807, June.

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