Nonstationary Panels, Panel Cointegration, and Dynamic by Badi H. Baltagi

By Badi H. Baltagi

This quantity is devoted to 2 contemporary in depth parts of study within the econometrics of panel information, specifically nonstationary panels and dynamic panels. It encompasses a finished survey of the nonstationary panel literature together with panel unit root exams, spurious panel regressions and panel cointegration checks. furthermore, it offers fresh advancements within the estimation of dynamic panel information types utilizing generalized approach to moments.

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Specification Testing in Panel Data with Instrumental Variables. Journal of Econometrics, 71, 291–307. Moon, H. , & Phillips, P. C. B. (1998). A Reinterpretation of the Feldstein-Horioka Regressions from a Nonstationary Panel Viewpoint. Working paper, Department of Economics, Yale University. Moon, H. , & Phillips, P. C. B. (1999). Maximum Likelihood Estimation in Panels with Incidental Trends. Oxford Bulletin of Economics and Statistics, 61, 711–747. , & Startz, R. (1990). The Distribution of the Instrumental Variables Estimator and Its t-ratio When the Instrument Is A Poor One.

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Multi-Country Evidence on the Behavior of Purchasing Power Parity Under the Current Float. Journal of International Money and Finance, 16, 19–35. MacDonald, R. (1996). Panel Unit Root Tests and Real Exchange Rates’’ Economics Letters, 50, 7–11. Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey 49 Maddala, G. S. (1999). On the Use of Panel Data Methods with Cross Country Data. Annales d’Economie et de Statistique, 55–56, 429–448. Maddala, G. , Srivastava, V. , & Li, H. (1994).

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