Testing for stationarity in heterogeneous panel data in the presence of cross section dependence

This paper deals with cross section dependence, homogeneity restrictions and small sample bias issues in dynamic panel regressions. To address the bias problem we develop a panel approach to median unbiased estimation that takes account of cross section dependence. The new estimators given here

Nonparametric trending regression with cross-sectional dependence

In this paper we propose a nonparametric test for poolability in large dimensional semiparametric panel data models with cross-section dependence based on the sieve estimation technique. To construct the test statistic, we only need to estimate the model under the alternative. We establish

for unit roots in three-dimensional heterogeneous panels in

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This paper proposes simple tests of error cross section dependence which are applicable to a variety of panel data models, including stationary and unit root dynamic heterogeneous panels with short T and large N. The proposed tests are based on average of pair-wise correlation coefficients

In this paper we propose moment estimators for cross-sectionally dependent panels where the explanatory variables are weakly exogenous. The methods considered allow N-consistent estimation of dynamic panels with general cross-sectional dependence which no existing techniques can handle. The method

In Gaibulloev, Sandler, and Sul (GSS) (2014), we discussed estimation of the fixed-effects dynamic regression model under cross-sectional dependence. Although Nickell bias becomes less of a problem for reasonably large T, we showed that its impact on statistical inference remains serious as long

An electronic version of the paper may be downloaded • from the SSRN website: www.SSRN.com • from the RePEc website: www.RePEc.org • from the CESifo website: Twww.CESifo-group.org/wp T