This paper overviews some recent developments in nonstationary panel data analysis. Underlying recent theory are asymptotics for multi-indexed processes in which both indexes may pass to infinity. We review some of the new limit theory that has been developed, show how it can be applied and give...

This paper develops procedures for the estimation of a common localizing parameter using panel data. Pooling information across individuals in a panel aids the identification and estimation of the localising parameter and leads to consistent estimation in somple panel models. However, in the...

This paper studies a class of models where full identification is not necessarily assumed. We term such models partially identified. It is argued that partially identified systems are of practical importance since empirical investigators frequently proceed under conditions that are best...

Under general conditions the sample covariance matrix of a vector martingale and its differences converges weakly to the matrix stochastic integral ∫₀¹ <italic>BdB′</italic>, where <italic>B</italic> is vector Brownian motion. For strictly stationary and ergodic sequences, rather than martingale differences, a similar result...

Nine leading journals that publish statistical theory are used to provide a data base of institutional and individual research activity in statistics over the period 1980–1986. From this data base, we construct both institutional and individual research rankings according to standardized page...