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New results for nonstationary panel regression

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  • Hosung Jung

Abstract

This article derives the limiting distributions of the Ordinary Least Squares (OLS) and Least Square Dummy Variable (LSDV) estimators in both spurious and cointegrated panel regressions. The limit theories employed in this article are different from those of Kao (1999) and Phillips and Moon (1999), in which the time dimension of the panel is fixed.

Suggested Citation

  • Hosung Jung, 2008. "New results for nonstationary panel regression," Applied Economics Letters, Taylor & Francis Journals, vol. 15(12), pages 975-979.
    • Handle: RePEc:taf:apeclt:v:15:y:2008:i:12:p:975-979
    DOI: 10.1080/13504850600972279
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    References listed on IDEAS

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    1. Kao, Chihwa, 1999. "Spurious regression and residual-based tests for cointegration in panel data," Journal of Econometrics, Elsevier, vol. 90(1), pages 1-44, May.
    2. Peter C. B. Phillips & Hyungsik R. Moon, 1999. "Linear Regression Limit Theory for Nonstationary Panel Data," Econometrica, Econometric Society, vol. 67(5), pages 1057-1112, September.
    3. Harris, Richard D. F. & Tzavalis, Elias, 1999. "Inference for unit roots in dynamic panels where the time dimension is fixed," Journal of Econometrics, Elsevier, vol. 91(2), pages 201-226, August.
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