Linear Regression Limit Theory for Nonstationary Panel Data

DOI10.1111/1468-0262.00070zbMath1056.62532OpenAlexW2156339602MaRDI QIDQ4530955

Hyungsik Roger Moon, Peter C. B. Phillips

Publication date: 28 May 2002

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d12/d1222.pdf

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

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