This paper study the asymptotic properties of the LSDV estimator on the assumption that the time series is general correlation. We show that the LSDV estimator is consistent for its true value, but the t statistic diverges.

• 本文在假定时间序列一般相关的前提下利用面板贝弗里奇-纳尔逊分解考察面板LSDV估计量的虚假回归性质,研究表明面板虚假回归的LSDV估计量对其真值是一致的,并且是渐近正态分布的,但其t值是发散的。