Title
Could the panel regression be used to examine the relationship between I(0) and I(1) series?
Authors
Abstract
We have read many papers in the literature and found that some papers report results of regressing a stationary time series on a non-stationary time series (we call it the IOI1 model). Wong, Pham, and Yue (2024) have examined whether regressing a stationary time series, Yt, on a non-stationary time series, Xt (that is, Yt = + Xt +ut) could get any meaningful result. To do so, they first conduct a simulation and nd that regressing a stationary time series on a non-stationary time series could be spurious. Thereafter, they have developed the estimation and testing theory for the I0I1 model and nd that the statistics T N for testing H 0 := 0 versus H 1 : ̸= 0 from the traditional regression model (we call it IOI0 model) does not have any asymptote distribution with E(T N) → ∞ and V ar(T N) → ∞ as N → ∞, and thus, it cannot be used for the I0I1 model. Nevertheless, as far as we know, no study in the literature has investigated whether we could use the panel regression to examine the relationship between a stationary series and a non-stationary series. This paper investigates the issue.
Keywords
Cointegration; stationarity; non-stationarity, panel regression
JEL Classi cation
C01, C15, C22, C23
How to Cite
Wong, W.-K., & Pham, M. T. (2026). Could the panel regression be used to examine the relationship between I(0) and I(1) series?. Advances in Decision Sciences, 30(2), forthcoming.