Panel data model with stationary and nonstationary regressors and error terms -- Panel time trend model with stationary and nonstationary error terms -- Estimation of change points in stationary and nonstationary regressors and error term -- Weak instruments in panel data models -- Incidental...

<title>Abstract</title> This paper considers the estimation of a linear regression involving the spatial autoregressive (SAR) error term which is nearly nonstationary. The asymptotics properties of the ordinary least squares (OLS), true generalized least squares (GLS) and feasible generalized least squares...

This paper studies the estimation of change point in panel models. We extend Bai (2010) and Feng, Kao and Lazarová (2009) to the case of stationary or nonstationary regressors and error term, and whether the change point is present or not. We prove consistency and derive the asymptotic...