Journal
OXFORD BULLETIN OF ECONOMICS AND STATISTICS
Volume 73, Issue 1, Pages 119-139Publisher
WILEY-BLACKWELL PUBLISHING, INC
DOI: 10.1111/j.1468-0084.2010.00605.x
Keywords
C13; C33
Funding
- Jan Wallander and Tom Hedelius Foundation [W2006-0068:1]
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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.
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