First difference maximum likelihood (FDML) seems an attractive estimation methodology in dynamic panel data modeling because differencing eliminates fixed effects and, in the case of a unit root, differencing transforms the data to stationarity, thereby addressing both incidental parameter...

We provide a limit theory for a general class of kernel smoothed U statistics that may be used for specification testing in time series regression with nonstationary data. The framework allows for linear and nonlinear models of cointegration and regressors that have autoregressive unit roots or...

The delta method and continuous mapping theorem are among the most extensively used tools in asymptotic derivations in econometrics. Extensions of these methods are provided for sequences of functions, which are commonly encountered in applications, and where the usual methods sometimes fail....