panel data when the cross section observations are independent. Consistency applies when there are no deterministic trends … or when there is a homogeneous deterministic trend in the panel model. When there are heterogeneous deterministic trends … the panel MLE of the local to unity parameter is inconsistent. This outcome provides a new instance of inconsistent ML …

Explicit asymptotic bias formulae are given for dynamic panel regression estimators as the cross section sample size N … there is cross section error dependence, the probability limit of the dynamic panel regression estimator is a random … variable rather than a constant, which helps to explain the substantial variability observed in dynamic panel estimates when …

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 …

This paper deals with cross section dependence, homogeneity restrictions and small sample bias issues in dynamic panel … regressions. To address the bias problem we develop a panel approach to median unbiased estimation that takes account of cross … cross section error correlation. The paper also develops an asymptotic theory for tests of coefficient homogeneity under …