This paper considers a moments-based nonlinear estimator that is <inline-formula> </inline-formula>-consistent and uniformly asymptotically normal irrespective of the degree of persistence of the forcing process. These properties hold for linear autoregressive models, linear predictive regressions, and certain nonlinear dynamic...

An effective way to control for cross-section correlation when conducting a panel unit root test is to remove the common factors from the data. However, there remain many ways to use the defactored residuals to construct a test. In this paper, we use the panel analysis of nonstationarity in...

We consider estimation of parameters in a regression model with endogenous regressors. The endogenous regressors along with a large number of other endogenous variables are driven by a small number of unobservable exogenous common factors. We show that the estimated common factors can be used as...