useful way of summarizing the persistence in a panel data set, as well as a complement to more traditional panel unit root …

The present paper studies the panel data auto regressive (PAR) time series model for testing the unit root hypothesis …

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 …

For panel data models including time-invariant variables, this paper proposes a new Hausman pretest estimator of the …

corrects for spatially correlated errors in static panel data models, by introducing a spatial lag and a one-period lag of the … the dynamic panel data model GMM estimators of Arellano and Bond (1991) and Blundell and Bond (1998) and supplementing the … dynamic panel data estimators. The performance of these spatial dynamic panel data estimators is investigated by means of …

/stochastic trending variables. The proposed tests are applicable to unbalanced heterogeneous panel data. They have a convenient null limit … finite samples in comparison with some existing popular tests for panel models and can be used as an effective evaluation … procedure for panel models …

In this paper, we propose two classes of test statistics for detecting a break at an unknown date in panel data models …