The DOI matches its Crossref record; 7 of the 7 references it cites were found in a registry or an index.
Nonstationary panel data analysis: an overview of some recent developments
Abstract
This paper overviews some recent developments in panel data asymptotics, concentrating on the nonstationary panel case and gives a new result for models with individual effects. Underlying recent theory are asymptotics for multi-indexed processes in which both indexes may pass to infinity. We review some of the new limit theory that has been developed, show how it can be applied and give a new interpretation of individual effects in nonstationary panel data. Fundamental to the interpretation of much of the asymptotics is the concept of a panel regression coefficient which measures the long run average relation across a section of the panel. This concept is analogous to the statistical interpretation of the coefficient in a classical regression relation. A variety of nonstationary panel data models are discussed and the paper reviews the asymptotic properties of estimators in these various models. Some recent developments in panel unit root tests and stationary dynamic panel regression models are also reviewed.
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Citations
Cites
Initial conditions and moment restrictions in dynamic panel data models
Blundell, R., & Bond, S. (1998) · Journal of Econometrics · doi:10.1016/s0304-4076(98)00009-8 · Cited by 22,571
Another look at the instrumental variable estimation of error-components models
Arellano, M., & Bover, O. (1995) · Journal of Econometrics · doi:10.1016/0304-4076(94)01642-d · Cited by 19,880
Testing the null hypothesis of stationarity against the alternative of a unit root
Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90104-y · Cited by 12,633
Self-citationBiases in dynamic models with fixed effects
Nickell, S. (1981) · Econometrica · doi:10.2307/1911408 · Cited by 8,735
Hsiao, C. (2014) · doi:10.1017/cbo9781139839327 · Cited by 7,869
Estimating long-run relationships from dynamic heterogeneous panels
Pesaran, M. H., & Smith, R. (1995) · Journal of Econometrics · doi:10.1016/0304-4076(94)01644-f · Cited by 5,479 · cited 2×
“An important difference between these studies is that Pesaran and Smith(1995) use an average of the cointegration coefficients, given by PPS = E ( P i ) , which is generally different from the long run average regression coefficient P because5 In order to define PPS, there needs to exist…”
ResultUnit root tests for panel data
Choi, I. (2001) · Journal of International Money and Finance · doi:10.1016/s0261-5606(00)00048-6 · Cited by 4,113
Cited by
Green investment: Trends and determinants
Eyraud, L., Clements, B., & Wane, A. (2013) · Energy Policy · doi:10.1016/j.enpol.2013.04.039 · Cited by 452
Cao, X., Kannaiah, D., Ye, L., Khan, J., Shabbir, M. S., Bilal, K., & Tabash, M. I. (2022) · Environmental Science and Pollution Research · doi:10.1007/s11356-022-18772-4 · Cited by 78
Metadata
- Authors
- Phillips, P. C. B., & Moon, H. R.
- Venue
- Econometric Reviews
- Publisher
- Informa UK Limited
- Published
- 2000-01
- Volume
- 19
- Issue
- 3
- Pages
- 263-286
- ISSN
- 0747-4938 (ISSN-L)
- 1532-4168
- OpenAlex
- W1965707663
- Cited by
- 402
- References
- 7
- FWCI
- 60.27
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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