In this paper we present a unit root test against a nonlinear dynamic heterogenous panel with each cross section … over time and heterogenous variance among cross sections. The test is derived under three special cases: (i) the number of … cross sections and observations over time are fixed, (ii) observations over time are fixed and the number of cross sections …

correlation in the form of AR(1) for the idiosyncratic or time-specific error component. Consistent estimation and asymptotic … normality is established for the consistent subsets. -- Panel data ; serial correlation ; random effects …

. Allowing for individual effects we introduce serial correlation of general form in the time effects as well as the … for determining the orders of serial correlation as well as the importance of time and individual effects. The methods are … during 1968-1987. Empirically, our focus is on measuring the returns to scale and technical change for the industry. -- Panel …

In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The … analysis is concentrated on the case where the time dimension is fixed and the cross section dimension tends to infinity. Under …, finite sample properties of the test are examined. We highlight scenarios under which the traditional panel unit root tests …

In this paper developments in the analysis of univariate nonlinear time series are considered. First a number of …

This paper is concerned with modelling time series by single hidden-layer feedforward neural network models. A coherent … the misspecification tests behave in small samples. Two applications to real time series, one univariate and the other … forecasting ; nonlinear time series ; smooth transition autoregression ; sunspot series ; threshold autoregression ; financial …