| Autor: |
Doel, I. T., Kiviet, J. F. |
| Zdroj: |
Statistica Neerlandica; Mar1994, Vol. 48 Issue 1, p71-85, 15p |
| Abstrakt: |
We assess the asymptotic consequences of estimating static models based on cross-section or panel data, when in reality the data are generated by a dynamic relationship, involving lagged dependent and current and lagged exogenous variables as well as individual effects. If the exogenous variable follows a stationary process, then the static estimators usually underestimate its long-run effect. This inconsistency is less severe, the higher the autocorrelation of the exogenous variable. If the exogenous variable follows a random walk with or without individual-specific drift, then the estimators are found to be consistent for the long-run effect. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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