Several stationarity tests in heterogeneous panel data models are proposed in this chapter. By allowing maximum degree … of heterogeneity in the panel, two different ways of pooling information from independent tests, the group mean and the … Fisher tests, are used to develop the panel stationarity tests. We consider the case of serially correlated errors in the …

under a simple panel Poisson count model. We also extend the strategy to accomodate cases when information orthogonality is … unavailable, such as the linear AR(p) panel model. For the AR(p) model, there exists a correction function to fix the incidental … in both parameter estimation and model selection. -- dynamic panel data model with fixed effect ; incidental parameter …