Nonstationary panel data analysis: an overview of some recent developments
综述非平稳面板数据渐近理论的新进展，给出含个体效应模型的新结果，解释面板回归系数的长期平均关系含义，并讨论多种模型及估计量的渐近性质。
This paper overviews some recent developments in panel data asymptotics, concentrating on the nonstationary panel case and gives a new result for models with individual effects. 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 a new interpretation of individual effects in nonstationary panel data. Fundamental to the interpretation of much of the asymptotics is the concept of a panel regression coefficient which measures the long run average relation across a section of the panel. This concept is analogous to the statistical interpretation of the coefficient in a classical regression relation. A variety of nonstationary panel data models are discussed and the paper reviews the asymptotic properties of estimators in these various models. Some recent developments in panel unit root tests and stationary dynamic panel regression models are also reviewed.