Baltagi, Badi H.; Kao, Chihwa; Liu, Long - In: Econometrics Journal 11 (2008) 3, pp. 554-572
This paper studies the asymptotic properties of standard panel data estimators in a simple panel regression model with random error component disturbances. Both the regressor and the remainder disturbance term are assumed to be autoregressive and possibly non-stationary. Asymptotic distributions...