Nonstationary panel data analysis: an overview of some recent developments
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Publication:4512504
DOI10.1080/07474930008800473zbMATH Open0953.62126OpenAlexW1965707663MaRDI QIDQ4512504FDOQ4512504
Authors: Peter C. B. Phillips, Hyungsik Roger Moon 
Publication date: 5 November 2000
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d12/d1221.pdf
Recommendations
- Linear Regression Limit Theory for Nonstationary Panel Data
- Nonstationary panels, panel cointegration, and dynamic panels
- ESTIMATION OF THE LONG-RUN AVERAGE RELATIONSHIP IN NONSTATIONARY PANEL TIME SERIES
- A simple test for nonstationarity in mixed panels: a further investigation
- Unit root tests in panel data: asymptotic and finite-sample properties
linear regressioncointegrationmulti-index asymptoticsdynamic panel regressionnonstationary panel datalong-run average relationships
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
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- Consistent Estimates Based on Partially Consistent Observations
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Cited In (21)
- Testing for shifts in a time trend panel data model with serially correlated error component disturbances
- SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES
- A multilevel model with autoregressive components for the analysis of tribal art prices
- Parameter estimation and inference with spatial lags and cointegration
- ESTIMATION OF THE LONG-RUN AVERAGE RELATIONSHIP IN NONSTATIONARY PANEL TIME SERIES
- Identification of panel data models with endogenous censoring
- Nonstationary panels, panel cointegration, and dynamic panels
- Residual based tests for cointegration in dependent panels
- Linear Regression Limit Theory for Nonstationary Panel Data
- Testing for spurious regression in a panel data model with the individual number and time length growing
- On the asymptotic \(t\)-test for large nonstationary panel models
- Efficient minimum distance estimator for quantile regression fixed effects panel data
- PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
- Title not available (Why is that?)
- Double unit root tests for cross-sectionally dependent panel data
- A new framework for distance and kernel-based metrics in high dimensions
- Unobserved heterogeneity in panel time series models
- Unit root tests for panel data with AR(1) errors and small T
- Peter C. B. Phillips's contributions to panel data methods
- ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
- Taking a new contour: a novel approach to panel unit root tests
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