Estimation of Autoregressive Roots near Unity using Panel Data.

This paper develops procedures for the estimation of a common localizing parameter using panel data. Pooling information across individuals in a panel aids the identification and estimation of the localising parameter and leads to consistent estimation in somple panel models. However, in the important case of models with concomitant deterministic trends, it is shown that pooled panel estimators of the localising paremeter are asymptotically biased. Some techniques are developed to overcome this difficulty and consistent estimators of c in the region c<0 are developeds for panel models with deterministic and stochastic trends.