Nonstationary panel data analysis: an overview of some recent developments

DOI10.1080/07474930008800473zbMath0953.62126OpenAlexW1965707663MaRDI QIDQ4512504

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

zbMATH Keywords

cointegrationlinear regressionmulti-index asymptoticsdynamic panel regressionnonstationary panel datalong-run average relationships

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (18)

Unit root tests for panel data with AR(1) errors and small T ⋮ Identification of panel data models with endogenous censoring ⋮ Double unit root tests for cross-sectionally dependent panel data ⋮ ESTIMATION OF THE LONG-RUN AVERAGE RELATIONSHIP IN NONSTATIONARY PANEL TIME SERIES ⋮ On the asymptotic \(t\)-test for large nonstationary panel models ⋮ A multilevel model with autoregressive components for the analysis of tribal art prices ⋮ 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 ⋮ Unobserved heterogeneity in panel time series models ⋮ Taking a new contour: a novel approach to panel unit root tests ⋮ Testing for spurious regression in a panel data model with the individual number and time length growing ⋮ Residual based tests for cointegration in dependent panels ⋮ ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION ⋮ SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES ⋮ A new framework for distance and kernel-based metrics in high dimensions ⋮ Parameter estimation and inference with spatial lags and cointegration ⋮ Testing for shifts in a time trend panel data model with serially correlated error component disturbances ⋮ PETER C.B. PHILLIPS’S CONTRIBUTIONS TO PANEL DATA METHODS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• Initial conditions and moment restrictions in dynamic panel data models
• Efficient estimation of models for dynamic panel data
• Another look at the instrumental variable estimation of error-components models
• Panel unit root tests and real exchange rates
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Handbook of econometrics. Volume I
• Understanding spurious regressions in econometrics
• Formulation and estimation of dynamic models using panel data
• Spurious regressions in econometrics
• Spurious regression and residual-based tests for cointegration in panel data
• Exploiting cross-section variation for unit root inference in dynamic data
• Efficient estimation of panel data models with sequential moment restrictions
• The incidental parameter problem since 1948
• Estimating long-run relationships from dynamic heterogeneous panels
• Optimal Inference in Cointegrated Systems
• Asymptotic Properties of Residual Based Tests for Cointegration
• Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods
• Multiple Time Series Regression with Integrated Processes
• Biases in Dynamic Models with Fixed Effects
• Estimation of Dynamic Models with Error Components
• A residual-based test of the null of cointegration in panel data
• Time Series Regression with a Unit Root
• Fully Modified Least Squares and Vector Autoregression
• Efficient Tests for an Autoregressive Unit Root
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• Consistent Estimates Based on Partially Consistent Observations
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

This page was built for publication: Nonstationary panel data analysis: an overview of some recent developments