The Interpretation of Cross Section Estimates in a Dynamic Model

The Effects of Property Taxes and Local Public Spending on Property Values: An Empirical Study of Tax Capitalization and the Tiebout Hypothesis

“…Implicit in the use of cross-sectional regression analysis is the assumption that the observations do in fact represent points of equilibrium. This, of course, is seldom if ever strictly true and, especially where an adjustment period of some length is likely, it is possible that the results may be distorted to some extent (Kuh 1959;Grunfeld 1961). It could be, for example, that the negative association we have observed between property taxes and home values is primarily a short-run phenomenon, which would disappear over a longer period of time.…”

Modeling the Supply Response of Supply‐Managed Industries: A Review of Issues

“…This suggests that time-series data illustrate adjustments along short-run equilibria, while cross-section data depict adjustments along long-run equilibria, a conjecture that is well established in the literature (Kuh 1959;Grunfeld 1961;Baltagi and Griffin 1984). Thus, models estimated with cross-section data should be interpreted appropriately.…”

Estimating cointegrating relations from a cross section

“…Y it and X 2it k are independent. This is in fact just the conditions derived in Grunfeld (1961) for a cross-section regression of the type described above to give an unbiased estimator of long-run parameters within the framework of a partial adjustment model with stationary variables. Repeating the arguments in the proof of Proposition 1 in Appendix A.1 the estimator obtained by regressing Y it on X 2it k is also consistent (as N !…”