Linear Regression Limit Theory for Nonstationary Panel Data.

This paper develops a regression limit theory for nonstationary panel data with large numbers of cross section (n) and time series (T) observations. The paper explores the existence of long-run average relations between integrated panel vectors when there is no individual time series cointegration and when there is heterogeneous conintegration.

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Year of publication:	1998
Authors:	Phillips, P.C.B. ; Moon, H.R.
Subject:	ECONOMETRICS \| STATISTICAL ANALYSIS \| REGRESSION ANALYSIS

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Type of publication:	Book / Working Paper
Notes:	54 pages
Classification:	C23 - Models with Panel Data ; C33 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005245551