On the Relationship between Estimate and Its t Value
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Abstract: It is generally believed that the signs of the estimated coefficient and its t value should be the same. This paper, however, shows that there may be an inconsistency in the signs of the estimated coefficient and its t value when we use the group mean dynamic OLS estimator developed by Pedroni (2001).
Keywords:
t Value,
Group Mean Dynamic OLS Estimator,
Panel Data
Cite this paper:
Matsuoka, Y. and Hamori, S. (2015) On the Relationship between Estimate and Its t Value. Theoretical Economics Letters, 5, 1-3. doi: 10.4236/tel.2015.51001.
References
[1] Stock, J.S. and Watson, M.W. (2011) Introduction to Econometrics. 3rd Edition, Addison-Wesley, Boston.
[2] Wooldridge, J.M. (2013) Introductory Econometrics: A Modern Approach. 5th Edition, South-Western Pub, Mason.
[3] Pedroni, P. (2001) Purchasing Power Parity Tests in Cointegrated Panels. Review of Economics and Statistics, 83, 727-731. http://dx.doi.org/10.1162/003465301753237803