Asymptotic properties of estimators for the linear panel regression model with random individual effects and serially correlated errors: the case of stationary and non-stationary regressors and residuals

DOI10.1111/j.1368-423X.2008.00254.xzbMath1154.62020MaRDI QIDQ3548524

Badi H. Baltagi, Long Liu, Chihwa Kao

Publication date: 15 December 2008

Published in: Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

panel datafixed-effectsGLSOLSfirst-difference

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Monte Carlo methods (65C05)

Related Items (8)

On the asymptotic \(t\)-test for large nonstationary panel models ⋮ Test of hypotheses in panel data models when the regressor and disturbances are possibly non-stationary ⋮ Estimation of partially specified spatial panel data models with random-effects and spatially correlated error components ⋮ Estimation of fixed effects panel regression models with separable and nonseparable space-time filters ⋮ Inferential theory for heterogeneity and cointegration in large panels ⋮ Estimation of semi-parametric varying-coefficient spatial panel data models with random-effects ⋮ Estimation of partially specified spatial panel data models with fixed-effects ⋮ Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term

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• Linear Regression Limit Theory for Nonstationary Panel Data

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