Nonstationary Panel Data Analysis: an Overview of Some Recent Developments.

This paper overviews some recent developments in nonstationary panel data analysis. 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.

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Year of publication:	1998
Authors:	Phillips, P.C.B. ; Moon, H.R.
Subject:	ECONOMETRICS \| STATISTICAL ANALYSIS \| REGRESSION ANALYSIS

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Type of publication:	Book / Working Paper
Notes:	22 pages
Classification:	C23 - Models with Panel Data ; C33 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005245564