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

Limit theory is developed for the dynamic panel GMM estimator in the presence of an autoregressive root near unity. In … Cauchy limit theory holds sequentially and jointly as (n,T) → ∞ with no restriction on the divergence rates of n and T. When … the common autoregressive root ρ = 1 c/√T the panel comprises a collection of mildly integrated time series. In this case …

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 proposes a nonparametric test for common trends in semiparametric panel data models with fixed effects based …

communally by all individuals in the sample. To capture such behavioral features, we employ a functional coefficient panel model … in which certain communal covariates may jointly influence panel interactions by means of their impact on the model … coefficients. Two classes of estimation procedures are proposed, one based on station averaged data the other on the full panel …

-parametric tests. Small-b asymptotics involve standard limit theory such as standard normal or chi-squared limits, whereas fixed …