The asymptotic local powers of various panel unit root tests are investigated. The power envelope is obtained under … on whether or not incidental trends are extracted from the panel data. In the latter case, when the alternative …

unity with panel data and incidental deterministic trends. Such models arise in empirical econometric studies of firm size … and in dynamic panel data modeling with weak instruments. The two moment conditions in the GMM approach are obtained by … true localizing parameter is zero (i.e., when there is a panel unit root) and the deterministic trends in the panel are …

This paper provides a first order asymptotic theory for generalized method of moments (GMM) estimators when the number …) instruments and some panel data models covering moderate time spans and with correspondingly large numbers of instruments. Under … parameter, and conditions for consistent GMM estimation are given. A general framework for the GMM limit distribution theory is …

panel data set consisting of hourly air pollution measurements. The augmented sinusoidal models produce an excellent fit to …

unity with panel data. The two moment conditions studied are obtained by constructing bias corrections to the score … zero (i.e., when there is a panel unit root) and the deterministic trends in the panel are linear. These results, which …

are developed for panel models with deterministic and stochastic trends. A limit distribution theory is also established … 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 simple panel models. However, in the important case of …

This paper develops new estimation and inference procedures for dynamic panel data models with fixed effects and … known to affect conventional GMM estimation when the autoregressive coefficient (rho) is near unity. In both panel and time … even in very small samples. The approach is applied to panel unit root testing. …

This paper introduces a new estimation method for dynamic panel models with fixed effects and AR(p) idiosyncratic … effects and retains information and signal strength in cases where there is a root at or near unity. The resulting "panel … system GMM methods. The asymptotic theory holds as long as the cross section (n) or time series (T) sample size is large …

First difference maximum likelihood (FDML) seems an attractive estimation methodology in dynamic panel data modeling … infinite at the upper bound when the time series sample size T approaching infinity. As the panel width n approaching infinity … the pathology is removed and the limit theory is normal. This result applies even for T fixed and we present an expression …