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On the Estimation and Inference of a Cointegrated Regression in Panel Data
Kao, Chihwa, (2011)
Inference in high dimensional panel models with an application to gun control
Belloni, Alexandre, (2014)
Confidence intervals for diffusion index forecasts and inference for factor-augmented regressions
Bai, Jushan, (2006)
Spurious regression in non-stationary panel time series with cross-unit cointegration
Urbain, Jean-Pierre, (2008)
Cross sectional averages or principal components?
Westerlund, Joakim, (2011)
Least squares asymptotics in spurious and cointegrated panel regressions with common and indiosyncratic stochastic trends
Urbain, Jean-Pierre, (2011)