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      Title:Pitfalls in cross-section studies with integrated regressors : a survey and new developments Author(s):BEKIROS, Stelios D.EUI affiliated; SJÖ, Bo; SWEENEY, Richard J.Date:2018Citation: Journal of economic surveys, 2018, Vol. 32, No. 4, pp. 1045-1073 Type:ArticleAbstract:In cross-section studies, if the dependent variable is I(0) but the regressor is I(1), the true slope must be zero in the resulting unbalanced regression. A spuriously significant relationship may be found in large ...

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      AuthorBEKIROS, Stelios D. (1)SJÖ, Bo (1)SWEENEY, Richard J. (1)Subject
      Categorical variables (1)
      Cointegration (1)
      Earnings (1)Panel-data (1)Returns (1)Stock appreciation (1)Survey (1)Unbalanced regressions (1)Unit roots (1)Unit-root tests (1)... View MoreType
      Article (1)
      Date Issued2018 (1)

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      European University Institute  - Badia Fiesolana - Via dei Roccettini 9, I-50014 San Domenico di Fiesole (FI) - Italy