TITLE:
On the Relationship between Estimate and Its t Value
AUTHORS:
Yuji Matsuoka, Shigeyuki Hamori
KEYWORDS:
t Value, Group Mean Dynamic OLS Estimator, Panel Data
JOURNAL NAME:
Theoretical Economics Letters,
Vol.5 No.1,
January
13,
2015
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).