This article investigates the asymptotic properties of coefficient estimators in the panel cointegration model with a time trend. We find that the bias of OLS estimator for the slope coefficient in the panel cointegration model with a time trend is distinct from that in the panel cointegration model without a time trend. Meanwhile, the variance of the limiting distribution for the slope coefficient is larger in the panel cointegration model with a time trend than without a time trend.
|Number of pages||18|
|Journal||Communications in Statistics - Theory and Methods|
|Publication status||Published - 2007 Jan|
All Science Journal Classification (ASJC) codes
- Statistics and Probability