In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The analysis is concentrated on the case where the time dimension is fixed and the cross section dimension tends to infinity. Under the null hypothesis of a unit root, we show that the...

In this paper we merge techniques from the efficiency literature with spatial econometric techniques. In particular, we combine calculation of efficiency from the unit speci c effects with the spatial lag model to develop a spatial autoregressive frontier model for panel data. Features of the...

This paper considers a first-order autoregressive panel data model with individual-specific effects and a heterogeneous autoregressive coefficient. It proposes estimators for the moments of the cross-sectional distribution of the autoregressive coefficients, with a focus on the first two...

We propose a method of modeling panel time series data with both inter- and intra-individual correlation, and of fitting an autoregressive model to such data. Estimates are obtained by a conditional likelihood argument. If there are few observations in each series, the estimates can be...

Most economic time series, such as GDP, real exchange rate and banking series are irregular by nature as they may be affected by a variety of discrepancies, including political changes, policy reforms, import-export market instability, etc. When such changes entail serious consequences for time...