The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Linear Regression Limit Theory for Nonstationary Panel Data
Abstract
This paper develops a regression limit theory for nonstationary panel data with large numbers of cross section Ž n. and time series Ž T. observations. The limit theory allows for both sequential limits, wherein T� � followed by n��, and joint limits where T, n�� simultaneously; and the relationship between these multidimensional limits is explored. The panel structures considered allow for no time series cointegration, heterogeneous cointegration, homogeneous cointegration, and near-homogeneous cointegration. The paper explores the existence of long-run average relations between integrated panel vectors when there is no individual time series cointegration and when there is heterogeneous cointegration. These relations are parameterized in terms of the matrix regression coefficient of the long-run average covariance matrix. In the case of homogeneous and near homogeneous cointegrating panels, a panel fully modified regression estimator is developed and studied. The limit theory enables us to test hypotheses about the long run average parameters both within and between subgroups of the full population.
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Citations
Cites
Testing for unit roots in heterogeneous panels
Im, K. S., Pesaran, M. H., & Shin, Y. (2003) · Journal of Econometrics · doi:10.1016/s0304-4076(03)00092-7 · Cited by 15,435
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×
“The long-run Ž . relation defined in Pesaran and Smith 1995 is an average of randomly different cointegrating coefficients and they suggested cross section regression with time averaged data for consistent estimation.”
BackgroundMethod
Cited by
(2001) · RePEc: Research Papers in Economics · Cited by 27,577
Testing for unit roots in heterogeneous panels
Im, K. S., Pesaran, M. H., & Shin, Y. (2003) · Journal of Econometrics · doi:10.1016/s0304-4076(03)00092-7 · Cited by 15,435
Unit root tests in panel data: asymptotic and finite-sample properties
Levin, A., Lin, C.-F., & James Chu, C.-S. (2002) · Journal of Econometrics · doi:10.1016/s0304-4076(01)00098-7 · Cited by 12,849
Testing for Error Correction in Panel Data*
Westerlund, J. (2007) · Oxford Bulletin of Economics and Statistics · doi:10.1111/j.1468-0084.2007.00477.x · Cited by 6,113
Unit 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
Transition Modeling and Econometric Convergence Tests
Phillips, P. C. B., & Sul, D. (2007) · Econometrica · doi:10.1111/j.1468-0262.2007.00811.x · Cited by 1,451
Self-citationDhahri, S., & Omri, A. (2018) · World Development · doi:10.1016/j.worlddev.2018.01.008 · Cited by 361
(2016) · doi:10.1016/j.jeconom.2015.12.014 · Cited by 319
Asymptotic properties of a robust variance matrix estimator for panel data when is large
Hansen, C. B. (2007) · Journal of Econometrics · doi:10.1016/j.jeconom.2006.10.009 · Cited by 293
Demographic Structure and Macroeconomic Trends
Aksoy, Y., Basso, H. S., Smith, R. P., & Grasl, T. (2019) · American Economic Journal: Macroeconomics · doi:10.1257/mac.20170114 · Cited by 267
Bias and consistency in three-way gravity models
Weidner, M., & Zylkin, T. (2021) · Journal of International Economics · doi:10.1016/j.jinteco.2021.103513 · Cited by 201
Seck, A. (2012) · Structural Change and Economic Dynamics · doi:10.1016/j.strueco.2011.01.003 · Cited by 129
Metadata
- Authors
- Phillips, P. C. B., & Moon, H. R.
- Venue
- Econometrica
- Publisher
- The Econometric Society
- Published
- 1999-09
- Volume
- 67
- Issue
- 5
- Pages
- 1057-1111
- ISSN
- 0012-9682 (ISSN-L)
- 1468-0262
- OpenAlex
- W2156339602
- Cited by
- 1,404
- References
- 3
- FWCI
- 50.56
- Type
- journal article
- Language
- en
- Open access
- closed
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