A3 Refereed book chapter or chapter in a compilation book
Panel data limit theory and asymptotic analysis of a panel regression with near integrated regressors
Authors: Kauppi Heikki
Editors: Badi H. Baltagi, Thomas B. Fomby, R. Carter Hill
Publication year: 2001
Book title : Nonstationary Panels, Panel Cointegration, and Dynamic Panels
Volume: 15
First page : 239
Last page: 274
ISBN: 978-0-7623-0688-6
eISBN: 978-1-84950-065-4
ISSN: 0731-9053
Web address : https://doi.org/10.1016/S0731-9053(00)15009-1
This chapter develops a new limit theory for panel data with large
numbers of cross section, n, and time series, T, observations. The
results apply when n and T tend to infinity simultaneously and provide
useful tools for obtaining convergencies in probability and in
distribution in cases where the panel data may be cross sectionally
heterogenous in a fairly general way. We demonstrate how the new theory
can be applied to derive asymptotics for a panel regression where
regressors are generated by a local to unit root process with
heterogenous localizing coefficients across cross section.
