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Inference on trending panel data. (2018). Velasco, Carlos ; Robinson, Peter.
In: LSE Research Online Documents on Economics.
RePEc:ehl:lserod:89192.

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  3. Arellano, M. and J. Hahn, 2006. Understanding bias in nonlinear panel models: some recent developments. In R. Blundell, W.K. Newey, and T. Persson, eds. Advances in Economics and Econometrics, Cambridge: Cambridge University Press, 381–409.

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  11. Hsiao, C., 2014. Analysis of panel data, Third Edition. Cambridge University Press.
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  12. Hualde, J. and P. M. Robinson, 2011. Gaussian pseudo-maximum likelihood estimation of fractional time series models. Annals of Statistics 39, 3152-3181.
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  13. Moon, H. R., B. Perron and P.C.B. Phillips, 2015. Incidental parameters and dynamic panel models. In B. H. Baltagi, ed. The Oxford Handbook of Panel Data. New York, Oxford University Press, 111-148.
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  14. Moon, H.R. and P.C.B. Phillips, 1999. Maximum likelihood estimation in panels with incidental trends. Oxford Bulletin of Economics and Statistics 61, 711– 747.

  15. Moon, H.R. and P.C.B. Phillips, 2000. Estimation of autogressive roots near unity using panel data. Econometric Theory 16, 927– 997.

  16. Moon, H.R. and P.C.B. Phillips, 2004. GMM estimation of autoregressive roots near unity with panel data. Econometrica 72, 467– 522.

  17. Moon, H.R., B. Perron and P.C.B. Phillips, 2007. Incidental trends and the power of panel unit root tests. Journal of Econometrics 141, 416– 459.

  18. Phillips, P.C.B. and D. Sul, 2007. Bias in dynamic panel estimation with …xed eects, incidental trends and cross section dependence. Journal of Econometrics 137, 162– 188.
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  19. Robinson, P. M. and C. Velasco, 2015. E cient inference on fractionally integrated panel data models with …xed eects. Journal of Econometrics 185, 435-452.

  20. Robinson, P. M., 2012. Nonparametric trending regression with cross-sectional dependence. Journal of Econometrics 169, 4-14.

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