Nonstationary Panel Data

2012 ◽  
pp. 251-279
Author(s):  
Gebhard Kirchgässner ◽  
Jürgen Wolters ◽  
Uwe Hassler
Keyword(s):  
Panel Data ◽  
Nonstationary Panel Data

scholarly journals Testing for Common Cyclical Features in Nonstationary Panel Data Models

2000 ◽  
Author(s):  
Franz C. Palm ◽  
Jean-Pierre Urbain ◽  
Alain Hecq
Keyword(s):  
Panel Data ◽  
Data Models ◽  
Panel Data Models ◽  
Nonstationary Panel Data

scholarly journals Econometric Analysis of Panel Data Models with Multifactor Error Structures

2019 ◽  
Vol 11 (1) ◽  
pp. 495-522 ◽  
Author(s):  
Hande Karabiyik ◽  
Franz C. Palm ◽  
Jean-Pierre Urbain
Keyword(s):  
Panel Data ◽  
Common Factors ◽  
Unit Roots ◽  
Panel Data Models ◽  
Cross Sectional ◽  
Explanatory Variables ◽  
Number Of Factors ◽  
Cross Sectional Dependence ◽  
Nonstationary Panel Data ◽  
Multifactor Approach

Economic panel data often exhibit cross-sectional dependence, even after conditioning on appropriate explanatory variables. Two approaches to modeling cross-sectional dependence in economic panel data are often used: the spatial dependence approach, which explains cross-sectional dependence in terms of distance among units, and the residual multifactor approach, which explains cross-sectional dependence by common factors that affect individuals to a different extent. This article reviews the theory on estimation and statistical inference for stationary and nonstationary panel data with cross-sectional dependence, particularly for models with a multifactor error structure. Tests and diagnostics for testing for unit roots, slope homogeneity, cointegration, and the number of factors are provided. We discuss issues such as estimating common factors, dealing with parameter plethora in practice, testing for structural stability and nonlinearity, and dealing with model and parameter uncertainty. Finally, we address issues related to the use of these economic panel models.

scholarly journals Linear Regression Limit Theory for Nonstationary Panel Data

Econometrica ◽  
1999 ◽  
Vol 67 (5) ◽  
pp. 1057-1111 ◽  
Author(s):  
Peter C. B. Phillips ◽  
Hyungsik R. Moon
Keyword(s):  
Panel Data ◽  
Linear Regression ◽  
Limit Theory ◽  
Nonstationary Panel Data

PETER C.B. PHILLIPS’S CONTRIBUTIONS TO PANEL DATA METHODS

2014 ◽  
Vol 30 (4) ◽  
pp. 882-893
Author(s):  
Hyungsik Roger Moon ◽  
Benoit Perron
Keyword(s):  
Economic Growth ◽  
Panel Data ◽  
Asymptotic Theory ◽  
Panel Data Methods ◽  
Seemingly Unrelated Regressions ◽  
Dynamic Panels ◽  
Nonstationary Panel Data

This paper discusses Peter Phillips’s contributions to panel data methods. These include contributions in the areas of seemingly unrelated regressions, nonstationary panel data, dynamic panels, and the development of multiple index asymptotic theory. We also discuss his empirical contributions in the area of economic growth and convergence that use macro panel data.

scholarly journals Estimating factor shares from nonstationary panel data

2019 ◽  
Vol 58 (5) ◽  
pp. 2353-2380
Author(s):  
Juan Carlos Aquino ◽  
N. R. Ramírez-Rondán
Keyword(s):  
Panel Data ◽  
Nonstationary Panel Data ◽  
Factor Shares
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