Panel data limit theory and asymptotic analysis of a panel regression with near integrated regressors

Abstract

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.

Citation

Kauppi, H. (2001), "Panel data limit theory and asymptotic analysis of a panel regression with near integrated regressors", Baltagi, B.H., Fomby, T.B. and Carter Hill, R. (Ed.) Nonstationary Panels, Panel Cointegration, and Dynamic Panels (Advances in Econometrics, Vol. 15), Emerald Group Publishing Limited, Leeds, pp. 239-274. https://doi.org/10.1016/S0731-9053(00)15009-1