A NOTE ON SPURIOUS REGRESSION IN PANELS WITH CROSS-SECTION DEPENDENCE

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dc.creatorSu, Jen-Je
dc.date2017-04-01T20:04:40Z
dc.date.accessioned2026-07-09T03:44:32Z
dc.descriptionThis paper analyses regression of two independent stationary panels with cross-sectional dependence. It is shown that the pooling least squares (PLS) estimator converges to zero in probability while the individual OLS estimator converges to a random variable. However, the PLS-based and the OLS-based t-statistics diverge, so the null hypothesis of no correlation tends to be spuriously rejected.
dc.identifierdoi:10.22004/ag.econ.23712
dc.identifierhttps://ageconsearch.umn.edu/record/23712/files/dp030004.pdf
dc.identifierhttp://ageconsearch.umn.edu/record/23712
dc.identifier.urihttp://hdl.handle.net/123456789/539140
dc.languageeng
dc.publisher
dc.sourcehttp://ageconsearch.umn.edu/record/23712
dc.titleA NOTE ON SPURIOUS REGRESSION IN PANELS WITH CROSS-SECTION DEPENDENCE
dc.typeText

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