Linear Regression Limit Theory for Nonstationary Panel Data

Recommendations

Nonstationary panel data analysis: an overview of some recent developments
Inferential theory for heterogeneity and cointegration in large panels
ESTIMATION OF THE LONG-RUN AVERAGE RELATIONSHIP IN NONSTATIONARY PANEL TIME SERIES
Nonstationary panels, panel cointegration, and dynamic panels
On the asymptotic \(t\)-test for large nonstationary panel models

Cited in

(only showing first 100 items - show all)

Fixed effects estimation of structural parameters and marginal effects in panel probit models
Sieve bootstrapt-tests on long-run average parameters
Panel data analysis with heterogeneous dynamics
Spurious regression and residual-based tests for cointegration in panel data
Panel cointegration testing in the presence of a time trend
Currency misalignments in the BRIICS countries: fixed vs. floating exchange rates
Threshold regression asymptotics: from the compound Poisson process to two-sided Brownian motion
Nonparametric testing for smooth structural changes in panel data models
Improved GMM estimation of panel VAR models
Bias-corrected estimation of panel vector autoregressions
Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects
Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes
Significance test in nonstationary logit panel model with serially correlated dependent variable
Multiscale fluctuation features of the dynamic correlation between bivariate time series
A short comment on the JE Open forum essays
Unit root tests in panel data: asymptotic and finite-sample properties
Instrumental variables estimation of a nearly nonstationary, heterogeneous error component model.
New unit root asymptotics in the presence of deterministic trends.
On the asymptotic \(t\)-test for large nonstationary panel models
Asymptotic behavior of weakly dependent aggregated processes
Inference without smoothing for large panels with cross-sectional and temporal dependence
Dynamic spatial panel data models with common shocks
Robust inference for change points in high dimension
Functional coefficient panel modeling with communal smoothing covariates
Estimation of a multiplicative correlation structure in the large dimensional case
On the unbiased asymptotic normality of quantile regression with fixed effects
Asymptotic inference for \(\mathrm{AR}(1)\) panel data
Inferential theory for heterogeneity and cointegration in large panels
Nonstationary panel models with latent group structures and cross-section dependence
Econometric estimates of Earth's transient climate sensitivity
Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions
Panel threshold regressions with latent group structures
The lack of international consumption risk sharing: can inflation differentials and trading costs help explain the puzzle?
Variable selection in panel models with breaks
Tests for overidentifying restrictions in factor-augmented VAR models
The effect of recursive detrending on panel unit root tests
Unit root tests for cross-sectionally dependent panels: the influence of observed factors
New tools for understanding the local asymptotic power of panel unit root tests
Scaling transition for nonlinear random fields with long-range dependence
Panel data analysis -- advantages and challenges (with comments and rejoinder)
The Sun also rises: productivity convergence between Japan and the USA
Asymptotic theory for heterogeneous dynamic pseudo-panels
Using panel data to increase the power of modified unit root tests in the presence of structural breaks
Aggregation in large dynamic panels
Testing a linear dynamic panel data model against nonlinear alternatives
A semiparametric model for heterogeneous panel data with fixed effects
Panel nonparametric regression with fixed effects
A simple test for nonstationarity in mixed panels: a further investigation
A panel data approach to economic forecasting: the bias-corrected average forecast
Micro versus macro cointegration in heterogeneous panels
Bootstrap inference in systems of single equation error correction models
Generating schemes for long memory processes: regimes, aggregation and linearity
Backward mean transformation in unit root panel data models
Averaging of an increasing number of moment condition estimators
Testing for equality of an increasing number of spectral density functions
Limit theorems for aggregated linear processes
Statistical inference in a random coefficient panel model
Peter C. B. Phillips's contributions to panel data methods
Incidental trends and the power of panel unit root tests
Asymptotic properties of a robust variance matrix estimator for panel data when T is large
The common and specific components of dynamic volatility
Evaluating latent and observed factors in macroeconomics and finance
Nonparametric estimation of dynamic panel models with fixed effects
Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model
A Lagrange multiplier-type test for idiosyncratic unit roots in the exact factor model
Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both n and T are large
Panel cointegration with global stochastic trends
Discrete choice modeling with nonstationary panels applied to exchange rate regime choice
Locally stationary factor models: identification and nonparametric estimation
Testing for Unit Roots in Dynamic Panels in the Presence of a Deterministic Trend: Re-examining the Unit Root Hypothesis for Real Stock Prices and Dividends
Non-parametric regression with a latent time series
Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application
A new diagnostic test for cross-section uncorrelatedness in nonparametric panel data models
A functional coefficient approach to modeling the Fisher hypothesis: worldwide evidence
A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE
Some remarks on definitions of memory for stationary random processes and fields
Estimating cointegrating relations from a cross section
On modeling panels of time series
ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER
Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects
A bootstrap procedure for panel data sets with many cross-sectional units
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
The performance of panel cointegration methods: results from a large scale simulation study
TESTING FOR STATIONARITY IN HETEROGENEOUS PANEL DATA IN THE CASE OF MODEL MISSPECIFICATION
Panel data unit root test with fixed time dimension
Panel unit root tests with cross-section dependence: a further investigation
The Estimation and Inference of a Panel Cointegration Model with a Time Trend
TESTING FOR UNIT ROOTS IN PANELS WITH A FACTOR STRUCTURE
Test of hypotheses in panel data models when the regressor and disturbances are possibly non-stationary
Dynamic panel estimation and homogeneity testing under cross section dependence
Nonstationary panel data analysis: an overview of some recent developments
Jive for panel dynamic simultaneous equations models
Challenges for panel financial analysis
Common stochastic trends and aggregation in heterogeneous panels
Dynamic panel Anderson-Hsiao estimation with roots near unity
PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
Efficient minimum distance estimator for quantile regression fixed effects panel data
Estimating aggregate autoregressive processes when only macro data are available
ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA
Estimation of unit root spatial dynamic panel data models

This page was built for publication: Linear Regression Limit Theory for Nonstationary Panel Data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4530955)