testing in time series regression with nonstationary data. The framework allows for linear and nonlinear models of … depends on the self intersection local time of a Gaussian process. A new weak convergence result is developed for certain … partial sums of functions involving nonstationary time series that converges to the intersection local time process. This …

infinite at the upper bound when the time series sample size T approaching infinity. As the panel width n approaching infinity …First difference maximum likelihood (FDML) seems an attractive estimation methodology in dynamic panel data modeling … likelihood and a new algorithm to maximize it. The peculiarities in the likelihood are found to be particularly marked in time …