Panel data model with stationary and nonstationary regressors and error terms -- Panel time trend model with stationary and nonstationary error terms -- Estimation of change points in stationary and nonstationary regressors and error term -- Weak instruments in panel data models -- Incidental...

<title>Abstract</title> This paper considers the estimation of a linear regression involving the spatial autoregressive (SAR) error term which is nearly nonstationary. The asymptotics properties of the ordinary least squares (OLS), true generalized least squares (GLS) and feasible generalized least squares...

This paper considers testing for cross-sectional dependence in a panel factor model. Based on the model considered by Bai (Econometrica 71: 135–171, <CitationRef CitationID="CR3">2003</CitationRef>), we investigate the use of a simple <InlineEquation ID="IEq3"> <EquationSource Format="TEX">$$F$$</EquationSource> </InlineEquation> test for testing for cross-sectional dependence when the factor may be known or unknown. The...</equationsource></inlineequation></citationref>