This paper considers estimation and inference concerning the autoregressive coefficient (p) in a panel autoregression … extensive set of new results on the asymptotic behavior of panel IV estimators in weak instrument settings. …

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 …

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 …

First difference maximum likelihood (FDML) seems an attractive estimation methodology in dynamic panel data modeling … infinite at the upper bound when the time series sample size T approaching infinity. As the panel width n approaching infinity …

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