Nonstationary Panels, Panel Cointegration, and Dynamic Panels

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Editorial ReviewsReviewB.H. Baltagi
...The subject area that the volume deals with has many potential applications, and is currently evolving very fast. As a result, this collection of timely surveys and new results will be a very useful handbook to anyone interested in current developments in the econometrics of panel data.
Mathematical Reviews, 2002




Product DescriptionThis volume is dedicated to two recent intensive areas of research in the econometrics of panel data, namely nonstationary panels and dynamic panels. It includes a comprehensive survey of the nonstationary panel literature including panel unit root tests, spurious panel regressions and panel cointegration
tests. In addition, it provides recent developments in the estimation of dynamic panel data models using generalized method of moments.

The volume includes eleven chapters written by twenty authors. These chapters (i) investigate better methods of estimating dynamic panels; (ii) develop methods for estimating and testing hypotheses for cointegrating vectors in dynamic panels;
(iii) extend the concept of serial correlation common features analysis to nonstationary panel data models; (iv) study the local power of panel unit root test statistics; (v) derive the asymptotic distributions of various estimators for the panel cointegrated regression model; (vi) propose a unit root test in the presence of structural change; (vii) develop a new limit theory for panel data that may be cross-sectionally heterogeneous; (viii) propose stationarity tests for a heterogeneous panel data model; (ix) derive instrumental variable estimators for a semiparametric partially linear dynamic panel data model; and (x) conduct Monte Carlo experiments to study the small sample properties of a growth convergence equation. This collection of papers should prove useful for practitioners and researchers working with panel data.






Hardcover: 350 pages Publisher: JAI Press; 1 edition (February 27, 2001) Language: English ISBN-10: 0762306882 ISBN-13: 978-0762306886

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关键词：Integration stationary Dynamic station Panels Panel Dynamic

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