This paper overviews some recent developments in nonstationary panel data asymptotics, concentrating on the nonstationary panel case and gives a new result for models with individual effects. Underlying recent theory are asymptotics for multi-indexed processes in which both indexes may pass to...

Using generalized functions of random variables and generalized Taylor series expansions, we provide quick demonstrations of the asymptotic theory for the LAD estimator in a regression model setting. The approach is justified by the smoothing that is delivered in the limit by the asymptotics,...